Not an expert here, still relatively "new" to the lore aspect of Touhou too, so take everything I say with a grain of salt.
So Touhou is a doujin franchise, as you may have heard, which kinda means that the line between canon and fanon is really thin. Example: Is Yuyuko really a glutton? or Is Tenshi really a masochist? But then there's some things that started as fanon then became canon, like Koakuma's and Daiyousei's names (I think).
If you really want to be strict about it and ONLY get into the canon stuff, then the Touhou wiki or official works are probably your best bet. And of course, there are the things 90% of Touhou fans never touch, the actual games. The animation, assuming you're talking about memories of phantasm, is not canon. But damn is it well made. And then there's the route of watching a copious amount of Youtube video essays on the characters and stuff.
But that's just me though, I don't really know what I'm talking about "^_^