Cetaceans are conscious, sentient, intelligent and emotional beings. That is indisputable. 

The annual killing of these and other marine mammals in the name of tradition or culture is clearly inhumane. It puts the species involved at risk of extinction. The gestation periods of some of these creatures is more than a year and mating often takes place less frequently thus individuals who are killed are not replaced  during the following year.

These actions also place marine ecosystems at risk of collapse. These are systems that humanity relies upon heavily. 

Marine mammals are not the threat to stocks of fish in the sea. 
Humans are.
If we can modify our behaviour then all life stands a chance.
If we can’t, then there is no hope.

It maybe that if financial pressure were brought to bear on Danish business (and by extension the Danish government) then political pressure would be exerted on the Faroese to halt the practice of butchering sentient beings while still conscious.

Boycotting Danish goods and services is a start. 
The UK is not an EU member now and is free to act as a powerful and influential trading nation.