RE: So it is clear to me, we are to pray directly to God himself.
But The Holy Spirit IS God. So is Jesus.
IF you are a Trinitarian, then it should be a moot point. It would be like asking (stretch of an analogy I know but stay with me) When addressing a letter to the editor, which editorial desk do I send the letter to.
If you are a non-Trinitarian, then it is a valid question to which Jesus supplied the answer.
All aspects of the One. The Father is the source, the thinker. The Son is the person of God, the speaker of the thoughts of God, and the Holy Spirit is the personality of God. The Son is the one we see and audibly hear. The Father is invisible, not seen, and is the creator and reservoir of the thoughts of God before they are spoken by the Son -- the only active agent of God (only begotten Son). All the rest of us are begotten by the Holy Spirit. The Holy Spirit is also unseen, but felt. The three are one.
Where God worked through one person at one time, (his own body), He now works through many Sons (and daughters, of course). And Jesus is the Lord of all of us who know -- and believe that he resides now in each of us, for we are flesh of His flesh, and bone of His bone.
People asked what happened to Christ's body?
Look around you, then look in the mirror and begin to recognize who is looking back at you.