Tickets can be purchased at the airport, and it's fairly simple to locate the train. Trains depart every hour or even more often, and you need to get a place reservation. High-speed train X2000 brings you to Lund in about 4 hours 14 min, and normal Intercity train will take 6 hours or more, depending on departure time. By train International trains arrive in Copenhagen railway station. If you have chosen to arrive to Stockholm by ferry, then you would have to take a train to Lund from Stockholm.
Every ferry has a shuttle bus service to the railway station.
This is convenient in the sense that you may travel over night and sleep on the ferry. The departure time in the summer is 23.30 in the evening and the arrival time 07.30 the following morning. There is a fast boat which takes less than 3 hours and a normal ferry which takes about 6 hours. Also here it is possible to go over night and sleep on the ferry. The travel time is about 4 hours.