I struggled with this also when I was a Mormon because I thought they were different entities. But, when I got on this forum and started reading, I learned about the Trinity. Then, when I surrendered my whole life to God, things began to open up to me. When I read the Bible, things became clearer and it didn't bother me as much.
One time, shortly after surrendering, I had a thought as I laid in bed meditating. If Jesus is in heaven on the right hand of God, then where is the Holy Spirit? I heard kinda' a "Hummmmm" in my heart that "told" me "Hey, I'm down here!" So I realized that the Holy Spirit was sent to comfort me and He is the one in my heart. I'd always thought it was Jesus in my heart, and in a way He is because they are all 3 one. Like myself the daughter; myself the mother; and myself the wife. All different persons, but the same me.
Now, when I pray, I usually say, "Heavenly Father." But it doesn't bother me anymore because I'm learning to know each one and their workings in my life.
