We pray with saints, not to them. Since saints led holy lives and are close to God in heaven, we feel that their prayers are particularly effective.
Often we ask particular saints to pray for us if we feel they have a particular interest in our problem. For example, many people ask Saint Monica to pray for them if they have trouble with unanswered prayers, because Monica prayed for twenty years for her son to be converted. Finally her prayers were answered in a way she never dreamed of — her son, Augustine, became a canonized saint and a Doctor of the Church.