Upvote:3
Arriving at CPH you will need to go through immigration (i.e. passport control) as you're coming from a non-Schengen country.
To get to the departure gate for the Faroe Islands you will not need to go through security (only non-EU arrivals go through security screening) and can go directly to your gate once you pass immigration. (Note: you might be lucky and your flight to the Faroe departs from the same area as your flight from the UK arrives - in that case you don't even need to pass through immigration. This is however not guaranteed.)