This is completely up to you. Choose one or try praying to each member of the Trinity at different times, because they all listen to you. If you are a Christian, the Holy Spirit is the presence of God living within you. So you can address Him directly, with confidence that He is as close as He could be. Romans 8:26 says, “In the same way, the Spirit helps us in our weakness. We do not know what we ought to pray for, but the Spirit himself intercedes for us through wordless groans.”.