No, HRH Crown Princess Mary has not gone into labor. However, her husband, Crown Prince Frederik, stopped by in the evening on January 6, 2011 for a visit. Apparently, Crown Princess Mary was there; however, there is no photographic evidence at this time.
According to BT.dk:
Thursday evening at around. 18, Crown Prince Frederik of Rigshospitalet in Copenhagen. The prince was alone in his red Saab. Crown Prince Frederik drove up in front of a side entrance to the maternity ward.
He, along with two bodyguards, were welcomed by Professor Peter Damm, who is part of the medical team that will help Crown Princess Mary with the birth of her twins.
Lene Balleby, the Communications Director for the Danish Royal Family, made it clear the Crown Princely couple were at Rigshospitalet. Currently, they are back home at Frederik VIII’s palace. She also notes that there ‘…is no set date for the birth…’ of the twins. ’It will happen sometime in January. There is not much else to say. It happens when it happens.’

After Crown Prince Frederik paid a visit to the hospital, the Danish court removed all official engagements from his activities calendar starting on January 13, 2011. Could this be a sign that the Danish royal twins will arrive prior to that date? Who knows.
Stay tuned…
Meanwhile, TV2.dk has an update report regarding the formalities that will take place when the birth happens. Click the link to watch: Nyhederne.TV2.dk
The editor and one journalist from Billed Bladet (you know, the Danish magazine that trolls royal blogs… Hey Anna! Hey Annemette!) actually have something slightly interesting to say on Danish television. Click the link to watch: Go TV2.dk
Source: Bt.dk Photos courtesy of Kongehuset.dk by Steen Evald and BT.dk by Uffe Weng.