The usual approach for a loki (and one I've been experimenting with a bit lately - though against the fad ra fast heroic it can create problems if you don't sufficiently slow them down) involves attacking early with hersir to slow the enemy down, rather than attempting to build up an army and raid. You can build hersir during age advance, and loki gets a bonus to them - they summon MU's.

Build your temple early in the fog near your opponent's town. Scout his resources extensively. As soon as you hit the button to advance, begin training Hersir, and keep training them.

Once you hit classical (the MOMENT you hit classical) attack with however many hersir you have managed to build, hopefully four or five. Advance quickly - sub 5 minutes to get the biggest benefits out of this, though I can't do it flawlessly myself. Aim to get before 5:30 though. Target enemy builders to stop them from getting units out to counter you. (Or even better, from getting the temple up if he hasn't advanced yet.)

Use your ulfsark to erect a longhouse while your hersir cause as much disruption as possible. (You fight with the hersir because they have a chance of summoning myth units.) You don't have to worry about getting longhouses up quickly because you are stopping your enemy from putting up his own structures.

If you advanced under Forseti, cast Healing Spring near your Temple/Longhouse(s) and heal your Hersir in between attacking - this will increase your chance of summoning myth units. Take care of any valkyries you summon as well, since they can heal units.

Back at your longhouse(s) begin building counters to whatever your enemy is attempting to counter your hersir with. As greeks this will be toxotes or hippikons. (Ulfsarks aren't much use right now when you're trying to avoid tower and TC fire, so build throwing axemen if it's hippikons and raiders if it's toxotes.) If Egyptians, this will be axemen - who do bonus damage to hersir. Counter them with throwing axemen or raiders. If against another Norse, it will be Throwing Axemen (who like Egyptian axemen do bonus damage to Hersir) train raiders.

The idea is to maintain constant pressure and disrupt his econ and buildings, not to actually kill things. Stay away from TC fire. Against Egyptians you may need to suffer some damage in order to take down a tower threatening your approach to the town, or use Heimdall's undermine. (If you've summoned or built an Einherjar, those are good at taking down towers too.)

If playing Heimdall, consider getting the Safeguard tech which increases tower HP and lowers cost, and getting the Watch Tower upgrade. You can use your hersir and throwing axemen to build watch towers to protect your buildings when you need to retreat, and stop enemy villagers from gathering near you. (Don't build towers where you can't protect them though - villagers take down unprotected towers very easily, they do damage x2.5 vs them, and towers have minimum range.)

Because you're building near your enemy town you don't need fast units like raiders. You can build whatever you want and expect it to be in the battle within seconds.