our 5.000 windmills only produce 2.6 % of our gross energy consumption (2006)

Denmark produced 25,800 TJ of wind power and consumed 121,857 TJ of electricity in 2007, which is almost 20% of gross electrical energy consumption [1]

Total renewable energy production is 130,200 TJ and total energy consumption is 668,846 TJ, which is almost 20% of gross energy consumption (same reference as above).

The “tightness” of the Danish grid is needed to trade power between its Nordic neighbors in the north and Germany in the south. Norway, Sweden, and Finland hold more than 120 GWh of pumped hydroelectric capacity that they send through Denmark into Germany and the rest of Europe, so that roughly three times the amount of energy needed in Denmark is passing through its wires on most days. The traded volume of power is truly massive: more than 250 TWh in 2006 (Figure 5). Huge flows of power go from the Nordic countries through Denmark during the day to meet peak demand below in Europe, where spot prices are higher, and then reverse direction during the night as the pumped hydro facilities are recharged. Early in the morning, from midnight to around 1:00 a.m., spot prices for power in Germany and Denmark are often $18.07 per MWh while they are from $36.16 to $42.55 per MWh in Sweden, Finland, and Norway (with an average system price of $37.07 per MWh). From noon to 1:00 p.m., in contrast, they are $127.10 per MWh in Denmark and Germany and only $41.20 to $45.33 per MWh in the Nordic countries (with an average system price of $45.02 per MWh). Thus, Denmark's neighbors supply significant amounts of regulating power helping balance wind energy at low cost.[2]

Yes, Denmark sells excess energy to Norwegian hydropower (used as mass energy storage of excess wind power when wind conditions are high), and Denmark buys back when wind power conditions are low, also reaping income from transferring power from Norway/Sweden to Germany and other destinations. To use a figure 2.6% is misleading, unless you provide the rest of the discussion.