Looking for an Advice

I don't know whether you can marry in Denmark on an Aupair visa (you may ask that in the Denmark forum!), but it is generally considered much easier to marry there than in Germany.
To marry in Germany, your spouse-to-be would have to contact his local Standesamt (family registry) and supply all the papers they need, together with official translations into German. This is likely to be difficult (especially if your home country's authorities don't easily issue such documents), time-consuming and costly - friends of mine needed 6 months and over EUR1000 in fees (translations and others).
If you want to remain in Germany after marrying, you also need to enter the country on a marriage visa, which you can apply for at the German embassy. If not (or if you married abroad), you can apply for a family reunion visa to join him in Germany at a later time. This takes another 3 - 6 months, your husband needs to show and apartment and sufficient financial means for your living expenses (min. EUR9000/year per person), plus you need to know basic German.