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:
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.