Unlocking iPhone 5

I am trying to unlock my iPhone 5. I am with EE in the UK but have moved to Denmark. I am trying to use a Danish sim-card.

I have been in contact with EE and had paid to have my phone unlocked and they said I would recieve an email on the 6th August, but I never did. I called today and after numerous conversations I'm told I can't unlock my phone outside the UK, even though I've told them from the start I'm now in Denmark.

Is this true? They said I need to unlock my phone with another English sim-card, but a guy from EE told me earlier today I could do it with a Danish sim with the whole syncing to iTunes. I'm just looking for clarification and any information. I am getting frustrated. Would it be possible to take it to a shop that unlocks phones, or will they not be able to do it either? Looking for answers from people with experience and/or knowedge of this.

Thanks in advance for any help.

C