I've been toying around with a Thor costume for awhile and my current plans are to make the chest from expanded PVC foam (Komatex, Sintra all kinds of names for it) and then use a rubber cast sheet of scales to make the sleeves. Pretty much I'd be using 2 methods that I have done previously to make the armor. I have them all detailed on line on my blog if it is any help.
Plastics - http://www.sdplastics.com/komatex.html
Rubber cast arm and plastic armor/sword