You were removed from Heathrow...
let him know that I was being sent back. I was fingerprinted and had
my photo taken and was put on the next flight to Denmark. A page in my
passport now has a black x-mark across a stamp.
This sounds all very standard and normal. You failed your landing interview and the IO believed that you were a flight risk so he would not give you temporary admission. They will keep your biometrics on file for 12 years and tell the Americans about the incident. Denmark already knows about it and has likely informed their friends in the EEA. Your transcript will include the part about having a boyfriend in the UK (that can work for you or against you depending upon how you play it).
Now, I want to plan a Christmas shopping trip to London. Will be
allowed to enter the UK?
Namibian nationals do not require a visa to enter the UK beforehand and nothing prevents your making another attempt. The 'best practices' solution, however, is to obtain an entry clearance beforehand. Doing so removes the chances of wasted airfares and the distress of another port side removal.
You may want to apply for a visa if you have a criminal record or
you've previously been refused entry into the UK.
It's not a rule, it's a suggestion only. Some people (including me) put this suggestion in the 'heavy-handed' suggestions category, which means you need a really good reason to decline their suggestion. You can apply for entry clearance from the gateway at Apply for a UK visa.. Once printed, applications are taken to the VFS in Copenhagen and transmitted to Lunar House for a decision; it takes 5 - 7 days. That gives you plenty of time for a decision in advance of Christmas. And the Christmas Sales won't start until the 27th anyway.
Note that even if they refuse an entry clearance application, you can still catch a flight and take your chances with the duty Immigration Officer. Nobody can predict the outcome of a landing interview, but in the scenario you have described, the odds are forever not in your favour.