I am happy to thread out scenes from The Avengers! But I don't need to if you don't want to or if timing doesn't work out, or whatever -- don't bend over backwards if it doesn't suit your needs or desires, basically, but Thor is at your disposal if you do want to.
In terms of continuity issues, hmmm. Well, Thor is going through the Thor movie right now, and then he'll hang out for a long while pre-Avengers (until I have Thor 2 to tell me what happens post-Avengers). For me, I'm happy to have Thor meet Steve at any point; I don't think Thor's side of things in The Avengers precludes him knowing Steve, although it's up to you if you don't want Steve to meet Thor until he's met him onscreen in his own part of the timeline. However, I don't want Thor to find out any Loki-related spoilers at this point. So if you think Steve would tell him about his brother (either deliberately, or accidentally because he doesn't realize Thor's coming from earlier than him), then we'd probably better keep them away from each other for a while.
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In terms of continuity issues, hmmm. Well, Thor is going through the Thor movie right now, and then he'll hang out for a long while pre-Avengers (until I have Thor 2 to tell me what happens post-Avengers). For me, I'm happy to have Thor meet Steve at any point; I don't think Thor's side of things in The Avengers precludes him knowing Steve, although it's up to you if you don't want Steve to meet Thor until he's met him onscreen in his own part of the timeline. However, I don't want Thor to find out any Loki-related spoilers at this point. So if you think Steve would tell him about his brother (either deliberately, or accidentally because he doesn't realize Thor's coming from earlier than him), then we'd probably better keep them away from each other for a while.