The direct train (travel time: 1:37) would indeed be nice, but it waits at central station for 9 minutes anyway before taking off to Odense. If you don't arrive close to that hourly(ish) departure though I'd go to central station and change to the direct train there, central is pretty easy to navigate. Of course I am biased but I would spend the morning/afternoon in Copenhagen before taking off to Odense anyway 😇