Can I directly ask Imam al-Mahdi (p) to help me or forgive my sins?
Yes you can, yet always with the belief that help and forgiveness of sins, and all other guidance, are ultimately from Allah (swt). However, He has appointed certain instruments (waseelahs) through which a person can ask. Hence, ask Imam al-Mahdi (p) to help you because in doing so you are actually asking Allah (swt) through the best waseelah (way) to Him.
“Those whom they worship seek to find intercessors for themselves with God. (They try to find out which of the intercessors) are closer to God. They have hope for His mercy and fear of His punishment; the punishment of your Lord is awesome” [Quran 17:57].