When it’s a max range j.HK, it’s a good idea to go into cr.MK xx EX Danku, hit-confirming off of the j.HK > cr.MK so you don’t waste a meter. cr.MK xx EX Danku arguably gives Dan the most damage and advantage for it’s reach. This is because you can hit at the very tip of the cr.MK and are still guaranteed to connect with EX Danku. You can’t do that with Gadouken.
If you land a j.HK at close range, and you know it’s going to hit, you should go right into something more damaging, like cl.HK > Koryuken, cl.HP xx Koryuken or cl.MP > cr.MP xx EX Danku.
Currently, cr.MP xx HK.Danku doesn’t combo unless the cr.MP counterhits, which makes it generate more hitstun to let the Danku connect. The only reason to use it is to trap people pressing buttons at close range, as cr.MP xx HK.Danku leaves a small hole in blockstun and leaves you above the hitboxes of most lows, letting you blow up messy crouch-OS-techs, etc.
Learn cl.MP xx LK.Danku. You’re going to need it, especially with the cl.MP buff in 2012. That’s the one thing I highly advise learning, because it’s the crux of Dan’s close range game at mid and high level play. Practice with cl.HP xx LK.Danku, I suppose, then as you get more comfortable, move onto faster normals. After enough practice, you’ll be cancelling from standing LP in your sleep.