How should one pray to Krishna? Is one supposed to light incense and chant? Is there any particular time of day one should pray?
There are so many Vaishnava bhajans, songs, that can be sung as prayers. You can also find many, many wonderful prayers in the Srimad-Bhagavatam and Bhagavad-gita which you can repeat as prayers yourself. You can go before the murti, deity, of the Lord and offer pranams, respects, and prayers. You can pray to the Lord any time of the day or night, He is in your heart and He is always listening.
Be a bit careful for what you pray for. If you're praying for health, wealth, happiness, for you or your family member, it's always best to approach Krishna. That show of dependence is both accurate and helpful for making spiritual advancement.
But in a higher sense, praying for the privilege of Krishna consciousness, devotional service, will grant you the greatest happiness in the long run. Ideally, a devotee doesn't pray for material things. Krishna is very merciful to His devotees and He awards them what they need in order to make spiritual progress and to ultimately get out of the material world.
If we're materialistic in our motivation, it may appear that Krishna's answers to our prayers contradict what we think we need! So be open and honest in your prayers. Glorify the Lord and seek what He desires you to have. He already knows what we need, and cares about us more than we can realize. He likes when we acknowledge that and make the effort to communicate with Him. Accept whatever He offers as His loving arrangement for your spiritual progress and be grateful for what comes.
I hope this is helpful.