Heimdal tried to take on Loki when the casket of ancient winters was used to freeze Heimdal. He must have thought he had a chance. But no way is he taking on Thor (or Loki with staff or casket). He would be in the same class as the warriors 3 imo.
When he busted out of the ice and stabbed 2 frost giants, he was about like the warriors 3 imo.
Heimdall is much physically closer to Thor than any of the other Asgardian's shown aside from Odin himself. He's not quite as strong as him, but definitely strong enough to give him a fight even in hand to hand.
With weapons, he has an advantage as a bonk or two can be more easily shaken off than getting sliced or impaled on a big ass sword.
And he has another advantage with his senses. He can probably see Thor's attack before he makes it.