There’s a deleted scene from Thor where the big guy and his brother have a chat right before he goes into the grand hall to be coronated. (We all remember how well that works out for him.) He’s got the jitters and Loki is engaging in a good old game of brotherly banter to get Thor’s mind out of Lake Anxiety. The teasing eventually falls back onto their associative animals, drawing attention to Loki’s glorious, horned helm.
But… where’d he get that thing anyhow?
[It was probably a birthday present.]