You can, but it’s not necessary. Just talk to them in your head.
The only reason for writing them a letter would be if you personally find writing to be a good way to organize your thoughts. Some people do keep prayer journals or include little prayers to God, saints etc. in their normal diary entries. For example, Servant of God Rhoda Wise kept a diary and she would put little notes to St. Therese, her favorite saint, in her diary entries along with recording other things going on her life, writing poems etc.
