How to create a custom locale in 2019?

In Ubuntu 18.04 I would like to create a new (custom) locale. Is this possible? There seem to be many older entries on how to do this but nothing current (none of the ‘old’ ways are working for me).

I would like to make a copy of en_US.utf8 and change the LC_TIME section to read like this

LC_TIME copy "en_DK" END LC_TIME 

Assuming this is possible, here are my specific questions:

1) How should I name this new file I am creating? Does the name need to be in a specific format to be accepted? For example, is ‘en_XX’ acceptable? How about ‘en_US@DK’?

2) How do I get this new created file to appear in the list when I run ‘locale -a’?

3) How do I set this new file as the default locale via the CLI?