Menen Kööpenhaminaan lomalle tänä talvenä. Since you cannot express the future in the verb - as the future tense does not exist in Finnish - you should just use the present tense form, with an indication (tänä: this winter and not viimenä: last winter) that makes clear the action will take place in the future. not 100% sure, but that's what I'd say :-) let's wait for a Fin to answer this one!

But yeah as the question was about the usage of the future tense - it's safe to use the present tense, which is always right. We don't have so called "official" future tense even though there very well is one usen in the spoken language, but I'm not going to mess you up any more. :) So - present tense it is!

Menen Kööpenhaminaan talvilomaksi. (Suffix "-ksi" since you used the preposition "for" before "winter holidays". To me the preceding conveys, both in Finnish and English, that you are to spend the whole holiday of yours in Copenhagen.) Also the following are correct and rather interchangeable but have some subtle tones anyhow: *Menen Kööpenhaminaan talvilomalle. *Menen Kööpenhaminaan talvilomalla. (Doesn't really convey, that you'd be spending the whole winter holiday in Copenhagen. Sounds more like a visit, a briefer or longer one, but doesn't necessarily require the whole holiday to be usen.) As native speaker I pointed out that someone has been giving you incorrect information. The answer selected as the best one is a bit erroneous: A) "talvenä" is severly wrongly written. In Finnish language it's impossible to use both back (u, o, a) and front vowels (y, ä, ö) in the same word (apart from a few loanwords, such as the word "Kööpenhamina" in and of itself - what a funny coincidence.) B) Menen Kööpenhaminaan lomalle tänä talvena is translated "I will go to Copenhagen for the holidays this winter". Conveys pretty much the same though... but I suppose you realize the little difference in the tone yourself.

Menen Kööpenhaminaan talvilomalle.