I personally don't like the phrase "pray
to [the Virgin Mary or any other saint]". I prefer to say that we pray
for that saint's intercession, which means that we are asking that saint to pray for us. The important thing to remember is that our prayer "to" saints, including the Virgin Mary, is not a form of worship but simply the act of communicating with another member of the Church who happens to already be in heaven with God.
As Catholics, we believe that the Church consists not only of the baptized here on earth (the "Church Militant"), but also of those who have died and are now living with God (the "Church Triumphant"). There is also one more group of people who are part of the Church: those who have died and are undergoing the process of purification and preparation for heaven that we call purgatory. This group is the "Church Penitent".
The reason we have the practice of asking the saints to intercede for us instead of always praying directly to God is the same as the reason why we are always praying for each other. The Bible is full of examples of faithful people who have prayed for others (for mercy, for healing, or for other miracles), and God answers those prayers. We have every reason to believe he will answer the prayers of the saints who are in heaven as well.
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