>How does a person find Jesus, exactly?
>Why doesn't he try to find me instead?
He does search for you. You can search all your life for Him, but it is He who really finds you. The question is rather when will you yield to His call? Try finding Him also in the Bible.
>Why doesn't he appear in my room whenever I'm feeling lonely and afraid and say "I'm here for you, homie. You ain't got no reason to be afraid" and then give me hug?
Why would you be satisfied with a vision of Him, when you can go meet Him in person? Go to the Blessed Sacrament for an hour and just pour your heart out to Him. It's not even fair how incredible this practise is, and it's a great habit to pick up.
Also this >>576701
In the words of St Francis de Sales, Instead of seeking the consolations of God, seek the God of consolations.