Here’s the issues/trade paperbacks where you’ll find the story (with helpful Amazon links). To be read more or less in this order.

With a couple of non-spoilery images to encourage you.

Thor: The World Eaters [Thor #615-621 & #620.1, material from Thor: Spotlight]

Thor talking about missing his brother even though Loki is such a goddamn ass —he is aware thank you very much but Loki is HIS BROTHER DAMMIT — and then going out in search of him only to find Loki reborn as a child! They return to Asgard. Thor and travel-sized Loki ensues.

Siege #4/Siege: Loki 

Siege was an Asgard-based crossover event. You don’t have to read all the event, but these two are essential to understand Loki’s rebirth and the context given by Ikol.

The Mighty Thor: Volume 1 [The Mighty Thor #1-6]

Setting Loki up in Asgard and working on identifying his intent versus whether or not he can be/is different.

Journey Into Mystery: Fear Itself [JiM #622-626, Thor: Spotlight, and Fear Itself: Spotlight]

Starting Loki’s JiM story…

Journey Into Mystery: Fear Itself Fallout [JiM #626.1, 627-631]

The Mighty Thor: Volume 2 [The Mighty Thor #7-12]

Little Loki’s the only one who remembers Thor. Also, he is still an adorable little shit.

Journey Into Mystery: Terrorism Myth [JiM #632-636]

Journey Into Mystery/New Mutants: Exiled [JiM #637-638, Exiled #1, and New Mutants #42-43]

Journey Into Mystery: The Manchester Gods [JiM #639-641 and The Mighty Thor Annual #1]

Journey Into Mystery/The Mighty Thor: Everything Burns — Not yet actually collected, but should comprise of The Mighty Thor #18-22 and Journey Into Mystery #642-645

After you’re done, read this from the author. It helps.