After reading the reviews on here I was a little uncertain whether to bother with Amigo, but I though I might as well give it a go and went on a Wednesday evening at about 8pm.
Amigo is easy to find, a few doors down from some gay clubs on Studiestræde. It's a strange venue, occupying the top three floors of a massive apartment building, so you have to ring the doorbell on what looks like an ordinary office or house.
The club is HUGE with upwards of 50 private rooms and it's actually pretty easy to get lost in the maze of corridors on the second floor. The top floor has a darkroom area which is pitch black if you like anonymous sex.
I should stress, this is NOT a sauna. There is one small steam room on the ground floor and it is often closed. It's a huge sprawling sex maze in an grand old converted house.
As the reviews warned, the club was pretty empty on a weekday with only about 10-15 people there at any one time, and most of them were older guys. There were one or two younger guys that passed through, two of which I think were rent boys, as they sat waiting for the whole evening.
I hooked up a couple of times, once with a cute muscley Asian guy, once with a stocky young Dane, so I didn't go home disappointed. The darkroom was fun too.
At 120 Krone, it wasn't cheap but I appreciate a venue that big must be expensive to run. Overall I had fun, even with the club pretty empty as there were a few cute guys and previous reviews warned me what to expect (please leave reviews for places you've been, they're really helpful!)
It might be best to go at the weekend when there are reportedly more guys, just don't arrive expecting the type of Sauna you get in London or Berlin and you'll be fine.