Personally, I've never heard of any JW doing that. If they do, it's not openly admitted. I suspect that some who converted from another religion might, but those born in the religion most likely do not.
Let's take a poll here, since the audience of this forum is made up of both current and ex-JWs. Who here, while a JW, talked to Jesus?
I never did because I was taught it was wrong to do so. And yes, I considered talking to Jesus the same as praying to him.