I consider Loki to be my personal deity.
The way I connected to him was strange, yet not strange at the same time. Growing up, I lived in a household with two parents who were extremely devoted to the Norse deities. They were both eclectic but still considered themselves Heathens in a way. Being around them, I learned about the Norse deities like bedtime stories, and it was natural for me to think about them. I never really had any personal beliefs or faith of my own, but was interested in learning about the deities for the sake of my family and their beliefs.
When I got older, and some things had happened in my life, I decided to seek out my own spirituality. I thought back to the Norse deities that I had grown up hearing about. One in parituclar, Loki, appealed to me a great amount. I poured hours into reading up on the lore surrounding Loki, reading other people's experiences with him, what he liked to be offered, what he didn't like to be offered, how he could be incorporated into some kind of practice. After awhile, in the span of years, I felt that I had come to understand him well enough to reach out to him and see what happened.
I made an offering to him, using things I thought he would enjoy and something personal of mine. It was that initial reaching out that really got the ball rolling. It wasn't long after that offering that I connected to him, and have been with him ever since. It's been several years, and Loki is still the main deity that I work with and give offerings to. On a near daily basis. I think when seeking out a deity, the best advice I can give is to spend time getting to know them. Read up on them. Read up on how they've interacted with other people. Learn about their personality, their likes and dislikes. Show that you're interested in learning about them. If you put time into fostering a relationship, or starting an initial connection with them, I think it makes a difference.