Obviously driving your car gives you most flexibility when out exploring the region. However, there are loads of cool, authentic experiences in the alternatives: The train ride from Copenhagen is beautiful, and you can either bring a bike or rent one on arrival. Biking the soft hills and coastal roads is both safe, charming and as Danish as it gets.
Getting from Hundested to Rørvig or the other way around is done by the ferry, that departs every half hour in the summer and every hour in the winter. Check times here!
For train-planning, use the Journey Planner, which is easy and convenient.