You need to do some research, as well as determine what kind of trip you want to have.
Do you want to see more places with less time in each place (a "tasting platter" kind of trip) or do you want to get to know each place in more depth, but see fewer places?
Do you want to focus only on the big capital cities, or spend time in other cities and towns, or see rural areas too?
As a related question, are there any specific destinations in these countries besides the capital cities that draw you? For instance, you certainly can spend 4-5 days in Sweden outside Stockholm - but will it be more interesting to you than moving on to another city/country?
It will take 1/2 to 3/4 of a day each time you go between your city pairs (such as Copenhagen to Stockholm). Sure, the flights are short, but there's getting to and from each airport, as well as waiting time. (Stockholm to Helsinki can be an overnight boat or a flight). How many times on this trip do you want to do this?
There are no right or wrong answers to these questions - just the ones that work best for you on this particular trip.
While Rick's Scandinavia book has great coverage of the places in each country he does include, he omits a LOT of each country, so be sure to supplement with other guides to learn more.