Jesus, when asked by His disciples to teach them to pray, started with *Our Father....*
There are many other places in Scripture where we are told to pray in Jesus name to the Father. The Father answers us for the sake of Christ.
Show me Scripture where we are instructed to pray to anyone but the Father.
For the first two, if you hold it is unscriptural, why is it not sin ? That does seem to be your standard. Preachers deviate from the Scriptural model of "Our Father" all the time; you probably do too.
As to your question, I have shown you already but you did not believe, so for you it is sin. As for idolatry, if you believe in or worship some other god using a graven image it is sin. If you love the brethren and ask them to pray to God for you, it is neither idolatry nor sin. If you don't believe they are with the LORD, then for you it may be sin. There are many things that are not in the Scriptures.
I don't pray the Our Father.
I don't see it as a canned prayer that if it's prayed, it's prayed like an incantation, and then I will get what I want for every so many *Our Father's*.
I see it as a template or basis, a model to be used on which to personalize your prayers to God.
I haven't considered yet as to whether praying to Jesus or the Holy Spirit is actually a sin or not. I don't recall finding any Scriptural support for it, so on that basis I would consider it unscritpural. Whether it's a sin to address Jesus or the Holy Spirit is something I've just not given a lot of thought to.