Fellowship of Freelancers
joined Oct 11, 2010
From my experience, starting to get into Touhou is pretty intimidating because of all the characters you have to learn. Though this makes it hard to get into, I think that ends up being its greatest benefit as well. Once you learn the characters and setting, stories can pretty much circumvent world building. You can have complex character dynamics and settings without having to set that up in the doujin — which would have been hard to do if you're trying to keep page count relatively low — and a side benefit of (for the most part) avoiding having the same schoolgirl setting.
My suggestion is to learn the two main characters, Reimu and Marisa, then briefly introduce yourself to a few of the more popular couples. Find a couple or two that you like, then start reading. Eventually, you'll pretty much be forced to learn about other characters, and your roster of known characters will slowly increase. Something helpful can be looking up characters on the Touhou wiki when you see them the first few times: http://en.touhouwiki.net
I will break from those before me and say you might want to consider not starting with the official works. If you're in it for the yuri, then you'll be reading a lot of material without much immediate payoff — they're good reads, but you run the risk of it turning into a chore. From my personal experience, I started with the yuri, and as I became attached to certain couples, my interest in those characters grew alongside it, and I began branching out into more pairings, then non-yuri, and then official works — eventually started playing the games. You can certainly start with the official stuff, but if it starts feeling like a slog, I'd suggest learning Touhou from the fanon side rather than canon side.