"The month of May is beginning. Our Lord wants us to make good use of this opportunity to increase in his love through dealing with his Mother. Let's try each day to show her, through little things, little attentions, that we, her children, love her, that our holiness and apostolate are becoming something real, that we are making a constant effort to contribute to the salvation which Christ has brought to the world."
The Church's tradition in many places dedicates the month of May to the Blessed Virgin Mary. During this time, Christians try to keep the Mother of God more present in their hearts, with a love shown in affectionate devotion to our Lady.
Saint Josemaría liked to show his love for the Virgin Mary in many ways, but he always said that one of his favorites was a pilgrimage done individually or with a group of two or three. "I respect and love public demonstrations of devotion, but I must admit I prefer to offer Mary the same affection, the same enthusiasm, in private visits or with very few people — a more intimate sort of thing ." 
In 1935, after his first visit to the Sonsoles Shrine near Avila, the founder of Opus Dei established the custom of a May pilgrimage for people in Opus Dei. As a sign of love for Mary, they would do a pilgrimage each May to a shrine or other place where an image of Holy Mary is venerated, accompanied by friends of theirs if possible. From then on, this custom has spread among many other people who have encountered his message.
A May pilgrimage is a visit to the Virgin Mary made with child-like love. What Saint Josemaría did was pray three parts of the Rosary: one on the way there; another, corresponding to the day of the week, before the image of our Lady; and a third on the way back.
Small mortifications can be offered to our Lady for personal needs and for the whole Church: doing part of the pilgrimage on foot; accepting bad weather or traffic cheerfully; not taking a snack; etc.
The custom of the May pilgrimage has a distinctly apostolic spirit. Saint Josemaría encouraged us to do it with a friend or relative and to use the occasion to suggest to them a step forward in their Christian life.
"Many conversions, many decisions to give oneself to the service of God have been preceded by an encounter with Mary. Our Lady has encouraged us to look for God, to desire to change, to lead a new life. And so the 'Do whatever he tells you' has turned into real self-giving, into a Christian vocation, which from then on enlightens all our personal life ." 
"A particular manifestation of the maternity of Mary," said John Paul II in Fatima, "is found in the sites where she has dealt with mankind, places where our Mother's particular presence has been noted. In all these places the singular testimony of our crucified Lord is fulfilled. There, mankind is entrusted to Mary; there we can meet her as our own mother, open our heart to her, speak to her of everything."
 Saint Josemaría, Christ is passing by , 149
 Ibid. , 139
 Ibid. , 149.