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The Catholic Church has a great deal to say about prayer. Most relevant to the question, I think, are Expressions of Prayer found in the Catechism of the Catholic Church (CCC).
The Lord leads all persons by paths and in ways pleasing to him, and each believer responds according to his heart’s resolve and the personal expressions of his prayer. However, Christian Tradition has retained three major expressions of prayer: vocal, meditative, and contemplative. They have one basic trait in common: composure of heart. This vigilance in keeping the Word and dwelling in the presence of God makes these three expressions intense times in the life of prayer. (CCC 2699)
Firstly, we're talking about three expressions of prayer. This is notable. Prayer is an expression of the uplifting of ourselves to God. That said, the three expressions:
Vocal
We pray with words, mentally or vocally, giving our prayer "flesh."
Meditatieve
According to the Catechism, "There are as many and varied methods of meditation as there are spiritual masters. ... Meditation engages thought, imagination, emotion, and desire."
Contemplative
The Catechism says, "Meditation engages thought, imagination, emotion, and desire. ... Contemplative prayer is hearing the Word of God. ... Contemplative prayer is silence, the “symbol of the world to come” or “silent love.”"
Now, while I'd definitely suggest reading the whole article entitled Expressions of Prayer to get a better sense for what we really mean by these expressions, your question lingers primarily in meditative prayer, wherein our imagination is active. But, exploring each a little:
In vocal prayer, we're speaking to God in response to His Word. In a purely vocal prayer, imagination isn't really required. Whether we're capable of a strictly vocal prayer is debatable -- an imaginations is hard to turn off. But, in the most basic sense, we can pray vocally as though God is an unseen and mysterious person (or three) standing around the corner, listening intently. We don't have to imagine anything, really. We're just aware that our words, mental or vocal, express what we wish to say (presumably to God).
In meditative prayer, we take steps to engage more of our mental faculties to express ourselves, and perhaps more importantly to hear God. Thus, we imagine God, His Word, scenes from the Bible from various perspectives, we ponder the lives of the saints, imagine ourselves speaking to God, etc.. I understand this prayer largely as an explorative prayer: with our imagination, emotion, and thought, we seek or feel around for God and His Word. It's important in this sort of prayer, as with any, to avoid clinging to any particular image of God or revelation, checking/validating all things against Biblical wisdom and the general teachings of the Church.
In contemplative prayer, we sort of silently groan for God, in response to His call for intimacy with us. We unite with Him in a way that no other form of prayer can bring, because this prayer is 100% grace. Our role active, but it's an active "yes" to God's will to bring us into contemplative prayer. As such, where our minds and hearts (and bodies) go in contemplative prayer is beyond recommendation -- God takes them where entirely He wills.
In brief, your question centers primarily on meditative prayer. There are a lot of recommended methods and approaches for meditation. All of them, as far as I'm aware, are explorative efforts, wherein the valid fruits of our labor will square with our conscience, scripture (Jesus Himself), and the Church in general.
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"Should" is going to be contingent upon your faith. I don't pray to an all powerful mystical being that is ready to cast me in to the pit of brimstone and fire... I pray to a loving Heavenly Father, on my knees and with a bowed head, and in the name of Jesus Christ.
To me, prayer is an act of the the will of the Father and the will of the child converging. I do not pray to bend the will of God, but to understand His will for me.
However you actually do pray and what ever the differences in Faiths are, I think it is important to pray often and develop a relationship with your Heavenly Father.
The Bible teaches how to pray, but I think the O.T. teachings and with animal sacrifices has been replaced by the N.T. teachings after Christ's life.
John 13:14 teachings to Pray in Christ's name, "And whatsoever ye shall ask in my name, that will I do, that the Father may be glorified in the Son."
John 16:23-24 also teaches to pray to the Father and in Christ's name, "23 And in that day ye shall ask me nothing. Verily, verily, I say unto you, Whatsoever ye shall bask the Father in my name, he will give it you. 24 Hither to have ye asked nothing in my name: ask, and ye shall receive, that your joy may be full"
Luke 18:1 states that we should pray often and that we will be strengthened by it, " 1 And he spake a parable unto them to this end, that men ought always to pray, and not to faint;"
Philip 4:6 teaches that we should give thanks, "Be careful for nothing; but in every thing by prayer and supplication with thanksgiving let your requests be made known unto God."
Fist Thessalonians 5:17 teaches to pray very often, "Pray without ceasing."
Mathew 6:5-6 teaches to pray in private and condemn the Pharisees the pray in public for the merit of man, "And when thou prayest, thou shalt not be as the hypocrites are: for they love to pray standing in the synagogues and in the corners of the streets, that they may be seen of men. Verily I say unto you, They have their reward. 6 But thou, when thou prayest, enter into thy closet, and when thou hast shut thy door, pray to thy Father which is in secret; and thy Father which seeth in secret shall reward thee openly."
Mathew 6:7 teaches that we should pray from our heart at that moment, not a pre-rehearsed or memorized prayer, "But when ye pray, use not vain repetitions, as the heathen do: for they think that they shall be heard for their much speaking."