(For the Kemetic Roundtable project.)
First: don’t worry about it. People spend too many cycles on this question and other, similar things.
(If you came to this religion through devotion to a particular Power, then you already have a relationship in mind, and you don’t need to worry about this.)
If you feel a need for a specific focus of devotion, there are a variety of tacks you can take: venerate Powers who are associated with your work in some way (Ptah the craftsman, Amun the patron of laborers, Sekhmet for medical personnel, Djehwty for wordsmiths or people who work with math or computer programmers who are both, and so on). Venerate Powers that feel related to your personality, who share a kinship you perceive, or who has a trait that you feel will help balance something that you need help with. Venerate Powers who seem to have relevance to yourself (as I mentioned setting up a Wesir shrine when dealing with feeling pulled apart, or for another example adding Taweret to household rituals during a pregnancy). If a particular Power’s symbols and resonances strike you as meaningful for reasons that you don’t entirely grasp just yet, it’s fine to pursue that. If your heart tells you “I want to honor Nefertem because I just do”, then honor Nefertem already, what’s holding you back? Your heart holds wisdom.
Your personal devotions are just that: personal. I’ve actually gotten a lot more uncomfortable over time with the pagan habit of god-name-swapping as a form of introduction; I’ve come to feel that it trivialises the gods and makes of personal relationship a sort of public show. (Or, at worst, an excuse for poor behaviour: “Oh, I couldn’t possibly curb my temper, I’m a Set/Sekhmet/Heru/Montu/Pakhet/whoever devotee”.) And any Power deserves their share of honor, deserves to be mentioned in their place, whether that place is as one to whose ways one has pledged one’s life or as one who is relevant in this day, or this month, or for the duration of this festival. And in that, there is another route to finding a god to swear to, by, or at, if you’re so inclined: celebrate the festivals, get to know the rhythms of the year, and find out what inspires you, speaks to you, where the meanings lie. Find the Powers that guide those festivals and give them specific thanks.
My gut response to questions of “What do I need to know about my gods?” is “Enough to have something that works”. I would start with “knowing what is pop culture and what is historically accurate” as a minimum: Bast the loveyfluff kittycat and Anpu the ooky-spook doom and death, for example, lack a certain something, but they’re very common in superficial takes derived more from Hollywood-Egypt than the actual Two Lands. (I have a habit of, when picking up a popular paganism book about Egypt that includes god portfolios, flipping to the section about Set and seeing if it has “GOD OF EVIL!” in it; a depressing number of them do. Other possible checks include “does this mention that Wesir is an agricultural deity, whether the moon is misfiled as an attribute of an Eye of Ra goddess, and similar basic material.)
As you get more familiar with things, you will learn more things. That’s just the way reality works. So again, back to “Don’t worry about it.” And as your understanding of the whole system grows, your private practice will also deepen.
Regarding whether or not you have to form a relationship with any entity that appears to show up to you: just because it doesn’t have a body doesn’t mean it knows what’s best for you. Just because it doesn’t have a body doesn’t mean it’s telling you the truth. Just because it doesn’t have a body doesn’t mean that you have to do what it says. Those who would encourage nonconsensual relationships of any form are doing things that I, personally, would avoid like the plague. You don’t have to be friends with everyone who knocks on your door. You don’t have to have sex with everyone who hits on you. You don’t have to worship everyone who asks. Remember: a relationship with a denizen of the unseen world is still a relationship, and all of your skills and principles for dealing with relationships are going to be pretty good there.
I genuinely fret about the way people get wound up about this subject, actually. It feels to me like a leftover of coming out of Personal Relationship With Jesus territory, more often than not, the sense that one must have Personal Relationship With Deity Of Some Sort in order to be doing religion right. In the worst cases it turns into a substitution of personal inner relationship for social relationship, a sense that so long as we are ‘right with God’ it doesn’t matter what we do to or with others. But ancient sources all confirm: the gods are fed by ma’at. And as ma’at is an ethos of community, heaping loaves upon the altar is not the point. Relationship with the divine is not a substitute for relationship with other people; it is an enhancement.