The best pocket guide to the architecture of the city, though admittedly for a large pocket, is the Copenhagen Architecture Guide by Olaf Lind and Annemarie Lund. It was published by The Danish Architectural Press with a first edition in 1996 but a revised edition came out in 2005. It is still available in book shops.
There is a good introduction with an outline of the topography and the historic development of the city and then the major historic and modern buildings are covered with generally a single page or, for the larger buildings, a double-page entry for each although major buildings such as Frederiksberg Palace and its gardens has three double-page spreads. With the compact format, text has to be tightly edited but there is a well-written summary of each building, a good general photo to capture the overall look and character of the building and, where possible, to at least indicate the setting and there are some details of interiors or exterior features where there is space or that feature is important and there are historic plans and drawings where those are significant or interesting.
Because this is ostensibly a walking guide, the city has been divided by a grid into 9 equal sections, and each section is preceded by a map with clear numbers to indicate the location of each entry. Within most sections buildings are arranged in chronological order. The exception is a section that covers both sides of the harbour so the buildings on the Holmen side are set out in sequence first and then the buildings on the Marble Church side of the harbour. It is inevitable that in trying to bring such a huge mass of material into a logical arrangement there has to be some awkward divisions so that is not a criticism. A tenth section covers the buildings in the outer districts of the city and to visit those it would be best to have a bike although public transport covers most of the area well.
In trying to find a particular building or in walking along a street it might take a minute to realise that you have to be on the next map but that again is a small price to pay for such a huge amount of information in one volume that covers buildings from Helligåndshuset, dating in part from the 13th century, through to the Maritime Youth Center on Amager by Bjarke Ingels from 2004
The Danish Architecture Centre has produced a series of slim (if tall-for-most-pockets) guides to the most recent buildings - published in 2007/2008, 2009 and the most recent in May 2013 - and DAC now also maintains an on-line index on their web site which is a very useful source for information about the architect, engineers, client and in many cases the cost of projects under the title Copenhagen X.