I presume the Danish embassy is more reasonable than the British one. The British Embassy charges 2,218 baht for each residence document - compared with Immigration's 200 baht. You're also now required to provide proof of address, and I don't have any document meeting their criteria*.
When it works, the service provided by Immigration is far simpler and cheaper.
* The accepted documents are: DVLA issued photocard driving licence, mortgage statement, tenancy agreement or Housing Association rent card, bank statement, letter from your bank, utility bill, council tax demand, Inland Revenue tax demand or a self assessment statement. They also don't accept documents printed from the Internet.