Loki fell into the dimension where he met Thanos and The Other.. They gave Loki a scepter and a Chitauri army to rule Earth. In return Loki is to retrieve the Tesseract cube from Earth <--- the villain's motivation in The Avengers

As for Thor's return to Earth, it is briefly mentioned in the jet scene, after Germany, that Odin would have used dark magic to transport Thor. In Thor movie, Loki uses magic and "secret paths" to bring the Frost Giants into Asgard.. Perhaps, this will be explained further in Thor 2

As for clothing, dont know.. Ask the costume designers