If you haven't been doing so already, I would say to go through Imperishable Night and unlock as many spellcards as you can across all difficulties (see how far you can get on Lunatic with 7 lives and multiple continues, even), and try to capture as many of them as you can in Spell Practice. It's a good start to your Touhou career, as it introduces you to a nice assortment of patterns does a pretty good job of teaching you some important dodging tricks early on.
For non-patterned dodging, Phantasmagoria of Flower View is the way to go, as its barrages teach you how to read random clusters and how to judge when it's time to bomb (and, as any veteran will tell you, bomb judgement is very important in any game).
Of course, if you're trying to 1cc a specific game, that game is probably the one to practice, and otherwise, if you have no specific goals other than to "get better", you can't go wrong with spreading yourself out across the series.
