Easiest is taxi! A lot depends upon how much luggage you have.
If you take the train to the Central train station you can literally walk to the Marriott from the train station.
Best bet is to contact directly (Or have Marriott "Hot line" help you), and ask the hotel if they can offer you options or have a designated car, pick you up. One advantage is the price is usually the same as a taxi, but you can normally put the charge on your room.
Good luck in Copenhagen, and try to make Elsinore Castle during your stay.
It's easy to get from Copenhagen to Malmo by Train. it's about a 35 min journey and costs 85 DKK ($15USD) for a single ticket. Trains run about every 20 mins.
It's a short walk from both locations to the hotels. I've stayed in both, no complaints with either.
Considering that it costs €43 ($57) to cross the Öresund Bridge in a car I can't see a taxi being that cheap.
I'd get the train and a taxi at either end if needed.