Praying for the dead is a spiritual work of mercy.
As my missal explains it: The practice of recommending to God the souls of the departed in that we may mitigate the great pains which they suffer, and that He may soon bring them to His glory, is most pleasing to God and most profitable to us. For those blessed souls are His eternal spouses, and they are most grateful to those who obtain their deliverance from prison, or even a mitigation of their torments. Hence, when they shall enter into heaven, they will certainly not forget those who prayed for them. It is a pious belief that God manifests to them our prayers for them, that they also may pray for us. Let us recommend to Jesus Christ, and to His holy Mother, all the souls in Purgatory, but especially those of our relatives, benefactors, friends, and enemies, and, still more particularly, the souls of those for whom we are bound to pray; and let us consider the great pains which these holy spouses of Jesus Christ endure, and offer to God for their relief the Masses of this day.
November is dedicated to the Souls in Purgatory and we remember and pray for them in a special way throughout the month. All Souls Day is celebrated on November 2nd with Masses for the Dead; a plenary indulgence applicable only to the Souls in Purgatory can be obtained each day from November 1st through 8th by visiting a cemetery and praying for the souls of the faithful departed (provided the usual conditions for obtaining indulgences have been met). You can read an explanation of what indulgences are and how to obtain them in this Catholic Culture article.
Our priests always lead the faithful in prayer at a local Catholic cemetery on the Saturday morning during this octave. In addition, for the past few years our family has followed this custom by visiting a cemetery every day during the first eight days of November. We usually go out after dinner, driving to a different cemetery each night, and then walk through the cemetery while praying our family rosary and concluding with the Eternal Rest prayer: Eternal rest grant unto them, O Lord, and let perpetual light shine upon them. May the souls of the faithful departed, through the mercy of God, rest in peace. Amen. This has become a treasured tradition for our family - peacefully walking through the quiet cemetery at night, listening to our footsteps and the crunch of the fragrant leaves, enjoying the stars and the brisk night air, each lost in his own thoughts as we pray for the dead and contemplate their souls and our own. If it's raining we stay in the car and drive around slowly. We try to visit all of the nearby Catholic cemeteries, but also visit others (where it is likely that the dead are not prayed for).
We also display our collection of memorial cards on our home altar throughout November as a reminder to pray for the souls of our beloved departed family members and friends:
An easy way to pray for the Poor Souls in November and throughout the year is to remember them at the end of our regular daily prayers. After the Angelus and Grace Before Meals we conclude with the Eternal Rest prayer or simply: May the Divine Assistance remain always with us, and may the souls of the faithful departed, through the mercy of God, rest in peace. In this way we remember the departed in prayer at least three times a day, as well as reminding ourselves of our own mortality and the need to pray for a good and holy death.
It is therefore a holy and wholesome thought to pray for the dead, that they may be loosed from sins. (II Maccabees 12:46)