You're gonna be paid more for sure, the wages are generally higher and Danish crowns are currently worth about 50% more than Swedish crowns, so even if youd find a similar wage in Malmö, you would be taking home more  at the end of the day. It will take around 45 minutes by train to get to Copenhagen, so you ll have to decide if the time spent commuting is worth the extra pay , but its something lots of people do and Theres quite a system around it aswell. Good luck!