Avengers: Infinity War - Predicting The Entire Plot In 20 Steps
9. Thor, Rocket & Groot Go To Nidavellir, Find Stormbreaker
So far, the reason for Thor needing a new weapon hasn't been entirely explained, since he was shown as capable of harnessing his Lightning powers in Thor: Ragnarok without Mjolnir, but his own personal quest will see him heading to Nidavellir (the realm of the Dwarves), where the Infinity Gauntlet was forged.
Perhaps the reason he takes Rocket and Groot to the planet rather than going alone is that they're actually on a sort of fact-finding mission to find out more about the Gauntlet itself and Thor merely stumbled upon Stormbreaker already forged there. That would explain why the trailers seem to show Thor lighting the planet's space-forges with the weapon and why the toy-lines have shown that Stormbreaker's handle is made by Groot.
It could well be that Thor does genuinely do to Nidavellir simply to get a new weapon, but it makes NO sense that it would be a key part of the Infinity Saga if there wasn't another reason. So put your money on there being a link to how the Avengers will try to defeat Thanos initially.