Well it was getting pregnant on the one hand or getting killed on the other...
To be fair Loki only had to somehow keep the build master from finishing the wall in time ... nobody said anything about horse smexy time ... and after reading further into lokis sexual adventures ... i think he let himself get caught by Svadilfari on purpose

I LOVE norse mythology.
And theres a bunch of awesome stories espicially when our favorite god of mischief is involved.

So yeah basically the build master wanted the sun, the moon and freya as payment. And Loki allowed him to have Svadilfari help him. And that stallion could literally move mountains.
So the gods were pissed and told Loki to somehow make the build master fail ... but without it looking like the gods cheated or Thor is going to crush his skull under his hammer.

So Loki shapeshifted into the form of a mare and lured Svadilfari away. Didn't manage to outrun him though. So they banged for several days ... weeks? (the time frame is a bit vague xD ).
Built master throws a tantrum cause he did not finish the wall in time. Turns out he is a frost giant. Gods kill giant cause thats kinda their thing.

Loki runs around for 11 months as mare, gives birth to Sleipnir, gifts Sleipnir to Odin.

Odin be like "Yo 8-legged horse thats neat, where you get all these crazy things Loki"
Loki "Dont even ask"