I'm usually not a fan of these types of tourist tours. In the case of the Copenhagen canal tours though, it's well worth making an exception. Not only do the boats show you a number of popular parts of Copenhagen, they'll also take you into areas that are extremely difficult to reach on your own while providing great historical context.
While prices vary from company to company, most are extremely reasonable and leave from numerous locations all over the city.
I suggest walking until you're ready to sit for a bit, then hopping on one of the canal tours before continuing your walking tour of the city.