When it comes to connecting with Loki or any other deity, there's 2 easy things you can do to start that relationship off.
1) set up an altar, interact and engage with it regularly. (Dusting/cleaning, putting things on it that remind you of the deity, place offerings on it, burn candles, etc.)
2) Pray. Prayer is communication, it includes just talking, it doesn't necessarily have to be praise, or a plea for help. Though sometimes that is what it is. Remember, that just as in your daily lives you have friends, relations, classmates, coworkers, neighbors, team members, etc. You have to engage in the relationship to keep it, to nurture it, to grow it, and to strengthen it. Sometimes we do that by sending care-packages to those who live far away, buy showing up with their favorite slurpee when they're working on their thesis and can't hang with you, by meeting up for a coffee, writing to them, talking to them on the phone. You don't want to show up only when you need something. Who likes a friend that mooches all the time? That doesn't try to do for themselves what they are capable of doing.
Do steps 1 & 2 and everything else will fall into place. But keep in mind that for some it will occur more rapidly, for others much more slowly, and that is because each and every one of us is on different parts of our spiritual journey and development. What I know after 15 years is a pool, to the mere drop from when I started, and yet that pool is dwarfed by the massive ocean of knowledge I still do not know, have not learned, will never fully know. Because who can fully know any of our Gods?
When you begin developing a relationship with a God do so with the understanding that everyone's experiences will vary. That isn't because one person is more special than another, but rather that our Gods are opportunistic, they connect and communicate with us in the ways we are most receptive to it. Sometimes those messages are highly personalized and are meaningless to someone else.
Remember that there is only a miniscule MINORITY that is called to a God for ordeal, or shamanism, or as a fulltrui, or god spouse, or horse, or godphone, etc. Most of us are never called in that way, it's not a slight to anyone, no one's more special, we're just each individuals. And anyone who tries to Lord it over someone else that they're more special or some such nonsense is missing the point.
My friend may connect with Odin as warrior, and I more as a god of Wisdom and poet, but we both connect with Odin. it's like how in real life your best friend may be on the soccer team, and you're on the chess team. You're friends, but you connect with others on your own too. If you're not hearing, sensing, feeling a God, are you sure that YOU are receptive to hearing them? All too often we let our mundane lives, issues, jealousies, insecurities, fears, distractions interfere with that.
You will know the true devotees not by how much they beat down others, but how they instead focus on worshiping and Honoring the deity in question. Some quietly, some a bit more publicly.
We must learn to listen, to hear THEM when they speak. And even when we do decipher a part of the message, so much more is always lost in static, that we must still yet uncover.