One way to talk about prayer is to say that prayer is Christ speaking to the Father, and we chime in (the Lord's Prayer), or it is the Spirit groaning (Romans 8) when we are no longer articulate and lack words. In this way prayer is precisely NOT talking to yourself. It is our way of participating in the divine conversation. We pray "in" God either through the Word or through the Spirit, "as" Christ or groaning as creation enlivened by Spirit.
We are "praying animals." It is a central, if not THE central aspect of our humanness. We pray.