Thor loses his hammer, which, as we've already mentioned, is kind of like a symbolic castration. (Ouch.) Then, to add insult to injury, he's forced to wear women's clothing. This forced cross-dressing might just be further feminization to echo the loss of his hammer (cough! phallus!). In other words, it might be the story's way of hammering its point home (pun intended): "Hey! Look! Thor's being symbolically castrated and feminized! Ha ha ha!"
Still, we suspect something else is going on here. Because once Thor is all dolled up in women's clothing and trying to act like a woman, he's really, really bad at it. In fact, if Thrym weren't quite so dumb, and Loki quite so crafty, Thor would never be able to pull it off. His "manly" characteristics, like his decidedly un-dainty appetite and his fiery eyes, would give him away in a heartbeat. He's so manly he could never really pass as a woman.
So, in a very strange paradox – in which a symbol means exactly the opposite of what you think it should – Thor's cross-dressing as a woman somehow just ends up proving his manliness. By using cross-dressing in this way, "The Theft of Thor's Hammer" is making it symbolize exactly the opposite of what modern cross-dressers do. When a person cross-dresses today, they're usually trying to make an argument about how "constructed" – how dependent on easily-changeable stuff like clothes, performance, and manners – male-ness and female-ness really are. But the ancient Norse didn't really agree with this argument.
Neither, it seems, did the ancient Greeks. When Achilles' mother forced him to dress as a girl to avoid being drafted in the Trojan War, he, like Thor, gave himself away with his manliness, in this case by being stoked about weaponry.
Cross-dressing in Shakespeare, however, is a little bit more complex, and is usually female-to-male cross-dressing, which opens up a whole different can of worms. For more examples of famous literary cross-dressers, check out our Learning Guides to Twelfth Night and As You Like It.
If you want to get acquainted with some modern cross-dressers, you might want to rent Some Like It Hot (1959), Victor Victoria (1982), To Wong Foo, Thanks for Everything! Julie Newmar (1995), White Chicks (2004), or Rent (2005). The list goes on and on, and cross-dressing seems to mean something slightly different in each incarnation, which just goes to show you what a powerful and flexible symbol cross-dressing can be.