I posted about this on officials a while back. Its pretty similar to what people pray about in real life.

Maybe you ask for something. Maybe you pray just to say how cool your deity is. Maybe you send up a prayer of thanks when something good happens, like you kill some tough foe, or barely survive some encounter. Maybe you pray asking for forgiveness if you've done something "bad". (Probably not a good idea with many religions though.)

Sometimes you send up a prayer if you just want some face-time with the imm, to let them know you're looking for them.

Always make them IC though.