go to www.mugen-infantry.net and on the right sidebar, find a link that say something like TOUHOU[CHARS], that is were you will find touhou mugen characters. but some of the links to websites they give you will be in Japanese, and some links will be down, but you can still find good stuff there.
EDIT:Unfortunately, MUGEN Infantry is pretty jacked up right now. A pity, since it's such a great site for characters -_-
Another great site, though, is ESnips, although I prefer that site only if the character isn't on some other major MUGEN site. ESnips is a website full of files, so it has many MUGEN characters that all but vanished from the internet. A lack of screenshots and comments, though, leads one to frequently wonder the quality of what exactly they are downloading
Look up MUGEN forums, like Mugen Guild, it contains a lot of information of characters. You can also go to MUGEN wiki for a large database of Touhou characters and their authors.