While there isn't much distance between cities, countries, and attractions in Scandinavia, you can imagine tours are the way to go if you want to see it all.
You are obviously not going to be bringing your car with you, so the tours definitely help with getting around. Outside the tours and looking at transportation in general, you do have many options. For example, there is even a city bike service. There is also the ScanRail or train, and then you have vehicles available to you as well.
What can you expect the weather to be like there? Scandinavian countries are known for their mild climate, yet those winter months are of course going to get a little cold. What kinds of things can you expect to be doing while you're there? Let's start with Iceland so you can check out a cool attraction there that can warm you up during the wintertime. It's called the Blue Lagoon, and you need to look at the images of this natural thermal pool.
When you're in Denmark, it is time to visit some majestic castles. Remember that you're going to want to look at what the escorted tours Scandinavia had to offer include so you can find out what all you get to see. Whatever isn't included you can plan to visit on the side. There is individual city guided tours, and one of the most recommended is a tour of Stockholm. That would be Sweden's capital city, and you are invited to see all of Stockholm and everything else that the great countries of Scandinavia have to offer.