Heimdall's has the soul gem...look on his chest. This kind of explains why he was in the vision Thor had in the last movie and why his eyes were all white (I think the soul gem changed his eyes).
I know one of the gauntlets is in the armory at the palace, probably with a set of the original stones pre-cut in half?? Not sure.
Loki did find the Time Norn stone though in the comics and I am pretty sure he is impersonating Odin:
What is your prediction as to where the last 2 Gemstones are?