In most stories about Thor, he's the ultra-tough protector of Asgard. But this story is different. Instead of being the strongest of the gods, here he is vulnerable because he's lost his most powerful weapon. The loss of his magical hammer weakens him both literally and symbolically – it represents the loss of the strength and skill that makes him valuable to the other gods.
Mirroring this actual loss of macho power is the emasculation (feminizing) of Thor that takes place when he's forced to dress up as a woman to get his hammer back. He has to rely on cleverness and tricks, rather than physical strength, to be the hero and save the day.
If you're thinking that Thor isn't entirely successful at tricking Thrym into thinking he's a girl, well, you're right. His enormous, manly appetite and fierce eyes almost blow his cover. Luckily, the frost-giant isn't too sharp, and Thor has Loki watching his back.
Thor's need of Loki's help might symbolize the incompleteness, or one-dimensional nature, of Thor's character. Thor's a macho muscleman, and that's all that he is. Most of the time, this character is sufficient for Thor, but, in a situation like this, he needs Loki's brains to balance him out.
There's much, much more to say about Thor, so be sure to check out Shmoop's "Thor Files" for all the details.