I am fairly sure that kogestykke is belly
and stegestykke is thick belly

http://www.foodcomp.dk/fcdb_details.asp?FoodId=0012

http://www.foodcomp.dk/fcdb_details.asp?FoodId=0929

Both come under the category 'stribet flæsk'
-- belly pork.

There are pictures here that may help:
http://www.danish-deli-food.com/images/RetailCutsbroch.pdf

The stegestykke is where the ribs are thick and go right through (good for 'ribbenssteg')

The kogestykke is where the ribs get 'gristly' and go over into the 'slag' = flank in English, where there are no ribs at all.

Typically used for soup, 'rullepølse' (rolled sausage) etc.