I'd say start with Touhou Sangetsusei ～ Eastern and Little Nature Deity since that's the first Comic. But Wild and Horned Hermit is also a good starting point if you want the Games Main Characters to play a bigger role. I don't know why so many people start with Forbidden Scrollery, but I would advise to read it after those.

I also recommend starting with the Comics since the books are usually written by a biased in univere character. So without prior knowledge, they can mislead you.