Are you aware that when your body dies, your soul is alive and goes through a particular judgment by Jesus Christ, himself?
Then the alive soul is either judged for heaven, Purgatory or hell.
So we pray for them, and they know we are praying for them.
Since this is not clearly outlined in the bible and there are a number of opinions about what happens between death and the GWTJ, I’ll throw my two bits in
I believe that we live in linear time, but “eternity” or the world outside this one is different. I believe that when I die, from my perspective, it will be instantaneous. That is, even if mankind is on this earth another thousand years, if I die right this instant, I will find myself at the GWTJ as if no time passed at all.
I have no way of knowing, of course, because now we see “as through a glass darkly. But then, face to face.”
What exactly would you pray for? They are already in paradise as good as it gets. If not, can someone be prayed out of hell? What do you give the soul that has everything?