It's a interesting concept to consider how you would live in a world where there are gods like Thor, Odin, Hercules, I guess you can refer them to little g gods. How would your life be when you realized that your life is really chaotic with Super heroes and super villians causing damage and other complications. You realized that your planet is constantly under thread by aliens, interdimensonal beings and monsters. Every forms of mythology exist. Would it shake your faith a bit. Another thing, how would your churches tolerate that very same super beings and gods and specially the most hated group from the general populace, Mutants. I would hope my church would be more tolerate on people who's by no fault on their own happen to have different appearances but its complicated and understandable when you would feel threatened by a guy who can shoot beams from his eyes if he ever loses controls. I figure it would be a interesting concept. It's not a black and white question that's for sure.
I guess you can show appreciation and gratitude to Thor for saving the city and universe but worshipping him would be out of the question.