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Speaking as an initiate of orisha (ordained as a priest of Ogún in La Regla de Ocha Lucumí in 2016), if you're interested in worshipping orisha properly, find a godparent who has license and lineage and get their guidance, help, and direction to do so. Unlike reconstructed paganisms like Nordic, Greek, or Roman practices, orisha religions (Lucumí/Santería, Candomblé, etc.) are living, continuously-maintained religions that operate on pacts propagated by initiation. If you're operating outside a pact, you can easily run afoul of orisha. Don't do it. Instead, find a godparent of good repute and good training (go to a local botanica, join non-initiate ATR groups, ask around, etc.) who can guide you, teach you, direct you, and do readings for you to see what you need to do and how you can best go about it. This isn't something to read from a book and try on your own.
On your own, does this mean you can build an "orisha altar"? If you really want, I suppose, but I wouldn't recommend it, because at best be little more than an art installation, and at worst it'd be giving a free home and free meals to a leech spirit trying to take you for a ride. Why? Because orisha don't respond to good intentions alone when there are pacts to recognize, observe, and honor with their actual priests; it's the priests' job to do this stuff, and it's the priests who have pacts with these entities who have access to them. There are plenty of things that initiated priests can do that non-initiated people can't, and that's because the orisha priests receive license and abilities to do things through their pacts that they make through initiation. No initiation, no pact; no pact, no orisha. To be sure, you can always pray to them or sing their songs in praise. However, going to someone you can consider a godparent (or, if you will, the priest you go to) will give you immediate access to those deities as well as guidance on how to approach them, make offerings to them, seek their help formally and properly, and the like, if they think and agree that you need it, and can direct you to engage with them in the proper way.
When you have a godparent (whom you trust, who has good character, who has good standing, whose license and initiation you can vet), you can begin to approach and learn about orisha properly. Maybe, one day, if it's right for you, even get initiated yourself, to some level. Orisha religion specifically and African traditional/diasporic religions generally, aren't things you pick up from books or from a jumble of stuff you can get at the botanica. It's a living, maintained, and (most importantly) oral tradition that's passed from one generation of priests to the next. That's how it works. Likewise, although the specifics might differ from religion to religion, this is also largely the case for goes for the lwa (Vodou/Vodun/Voodoo) and mpungu (Palo), as well as Exu and Pomba Gira (Quimbanda), too. Almost universally, African traditional/diasporic religions are initiation-based. If you're interested, find a godparent.
And while we're at it: if you want to know whether you need to get initiated into orisha religion, you get a reading through diloggun with an olorisha (an orisha priest) or through Ifá with a babalawo (a priest of Ifá), one who's competent and whom you trust—and only these two systems! No other divination forms are legit for this, because no other systems speak for orisha. You cannot mark someone's head or determine whether they need initiation or other ceremonies with Tarot, Lenormand, geomancy, or any other form of divination. Such systems might suggest that one should to go to Lucumí/Ifá for solutions, but because they do not speak for orisha or Ifá, they cannot prescribe anything to be done with them. Period, no exceptions.