If I believed in Thor & all the attendant mythology, the best thing to do would be to
play it straight. There's no need to challenge or belittle the visitors.....just amaze them with something they never expected. A good time will be had by all.
From personal experience, that doesn't work either. They continue to assume it's just a fandom, a "fad", or a passing fancy. And it usually ends with awkwardly being handed more useless literature.
You are right that there is no need - at first - to belittle them. "Challenge" depends largely on what the individual takes as a challenge; to some, merely disbelieving in their god is a challenge. But neither is the best thing to do lying down and taking the schpeal. Nothing requires us to do so, or to remain polite when we are "visited" day after day.
What? You didn't try to covert them to Heathenry? Missed opportunity there...
Why? If we oppose proselytization and conversion efforts, why would we resort to the same? If someone is called to the Gods, let them listen and come to them, and we will welcome to our kindreds.
Odin is a deity of unrestrained fury, exploration and wisdom.
To clarify this - as it's a point of some confusion - when Odin is described as "furious", it's not meant to say that he is angry or wrathful. It is meant in the manner of high passion, as in he "furiously seeks knowledge".
You could have written Lucifer there, or Satan, and written the same statement.
As he has said, Odin is not Lucifer or Satan. Stop insisting upon ignorance.