How Heathens factor deities into their practices depends on their approach to polytheism:
Soft Polytheism is the view that gods are archetypes as opposed to literal beings. Soft polytheists believe these archetypes are products of the human mind and reflect the human condition.
Hard Polytheism is the view that gods are autonomous beings with an existence outside of our own minds. Hard polytheists believe gods are individuals in their own right.
Unlike in Christianity, Heathens can interact directly with deities without the need for mediators like priests or scripture. The relationships Heathens form with deities are just as various as the relationships we have with each other: They can be casual or formal, occasional or regular, friendly, familial, professional, mentoral, and more. Some Heathens may say they “work with” deities to indicate a collaborative relationship, while others may approach deities with veneration and worship.
Additionally, Heathens can choose which gods they interact with, focusing on some more than others. Some Heathens may be henotheists and work exclusively with one deity without denying the existence of others. Other Heathens may be polyaffiliated and work with additional deities outside of the Norse pantheon (a typical occurrence in modern paganism). And lastly, some Heathens may not work with the gods at all, preferring to focus on ancestor veneration, spirit work, or other aspects of physical practice.
To learn the specifics on how to work with deities, see Deity & Spirit Work 101.