I don't think you're wrong to be cautious when it comes to the direction of your prayer. Personally, I don't think of myself praying TO the saints. All prayer and focus is on God, but that can be directed to Him through His saints. They are saints because of their devotion to Him and it is Him that shines through them.

Orthodoxy can be jarring, from my experience, as externally much resembles some of the Western tradition, but those things are quite different internally. A podcast called "Our Life in Christ" from Ancient Faith Radio helped me explore those differences when I was first discovering Orthodoxy a few years ago. It may interest you