According to comic scribe Brian Michael Bendis' & Marvel chielf Joe Quesada's Tweets, some sets have already been built. I guess its not a surprise, considering next month is Christmas, and filming begins in January.
From Brian Michael Bendis:
Broadcasting live from marvel west. Thor movie meeting with Ken branagh was over the top amazing. Visited the sets! I was in Odin's chamber!
30 minutes ago
From Joe Quesada:
I could listen to Branagh talk about Thor all day long. Cast is in place, sets are being built and screenplay is brilliant. Marveldom rules!
27 minutes ago
UPDATE: Recent post by Brian
U should get in line for the Thor movie today. Just saying.
less than 20 seconds ago
It'll be even more awesome when we get some set pics or something. Huh, I just love all this excitement!
Sources:
Joe's Twitter
Brian's Twitter