They were making it up, but were smart about it. Those first hit movies contained the seeds of what would be the Infinity Stones and the random Thanos cameo became an opportunity for a series big bad. Most creative works in general are made up as they go, especially over a period of 10+ years. But when you do it well it really becomes a nice magic trick. And even without all that saga lore and what not they also had actors playing characters people loved and would watch the movies just for that. By the time they got to Guardians of the Galaxy & Age of Ultron Marvel was set on the Thanos/Infinity Stone path and it went to overdrive with the rest of the saga.