When i was a kid, i remember Jehovah being so real to me. I would pray to him in my head many many times in the day, it was like he was my best friend watching over only me. Unfortunately, this was nothing more than a child with an imaginary friend. Only mine was called Jehovah, he lived in the sky, he had a big white beard and only cared about me (first and foremost), then other JWs.
If you want to know how it feels to have a "personal relationship with Jehovah" all you have to do is imagine there's an invisible person floating over you. Talk to it all the time and give it credit when things go well and blame something else when things go wrong.