Since I had a hard time finding this information, I would like to share my experience using a sim card in Norway, Denmark, and Iceland in July 2019. Hope this is the right place to post this.
We purchased sim cards in Oslo. The plan we used was Telia's Smart Kontant (250mb) and cost us 99 krone. We found a Telia store in Oslo station, and they helped us set up the sim card. Super easy.
I am happy to report that the sim card worked in Oslo, Copenhagen, and Reykjavik.
A few things to note:
We were required to show our passports to purchase them.
When you turn off your phone, we needed to re-enter your pin to activate the sim card.
We were told that we could purchase more data only in Norway. So we bought enough (my husband) or were careful using data (me).
Our phone numbers were on the receipts. We kept them and used the numbers to register services and transportations in Denmark without any issues.
No roaming fees in Denmark and Iceland.
Hope this helps someone who is planning to travel these countries. Happy traveling!