At the end of Avengers: Age of Ultron, Thor says:

The Mind Stone is the fourth of the Infinity Stones to show up in the last few years. It's not a coincidence.

Although all these Marvel-films are intertwined somehow, how did Thor know about what happened in Guardians of the Galaxy?

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In Age of Ultron, we see that Thor goes to a pool of vision. There he has a vision, and where we see the five infinity stones come together and form the gauntlet. Also in that vision, he also sees how the stones were being kept (the orb, the Aether, the Tesseract). As a bit of speculation, he could have heard through the grapevine about the events that occurred on Xandar, and about the orb. There is some connections between the events of GotG and the Thor movies: there's a dark elf in the Collector's collection.

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    +1 Heimdall's all seeing eyes are at the service of Thor (and Loki disguised as Odin). They must have heard of what happened. Also there's Collector who gets all the dangerous items (not very logical if you ask me) and Asgard might have heard that too. So your approach works. – apollo Mar 5 '16 at 7:51

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