I agree with Alexander1917. If you can, please try and go to Ballerup, outside of Copenhagen. The Ballerup museum has a section devoted to Olga's time there, complete with many of her painting and belongings. If you are buying the Copenhagen Card, both your train, bus, and museum entrance fee will be covered with the card.
If you need help with directions, please let us know. I'll find the bus number you catch from the train station. It's dead easy to get to. :-)