Should we pray to Jesus or to the Father? I've always believed we should pray to the Father.
You are correct that the Bible teaches we are to pray to the Father. Jesus Himself gave us the definitive example of how to pray in Matthew 6:9-13:
Matt. 6:9 “ Pray, then, in this way:
‘Our Father who is in heaven,
Hallowed be Your name.
Matt. 6:10 ‘ Your kingdom come.
Your will be done,
On earth as it is in heaven.
Matt. 6:11 ‘ Give us this day our daily bread.
Matt. 6:12 ‘And forgive us our debts, as we also have forgiven our debtors.
Matt. 6:13 ‘And do not lead us into temptation, but deliver us from evil. [For Yours is the kingdom and the power and the glory forever. Amen.’]
Jesus tells us to always address our prayers to the Father.
Furthermore, there is no example given in Scripture - neither Old Testament nor New Testament - of a saint praying to Jesus directly. Every example of prayer we see offered in Scripture is directed to the Father or more generally God.