I think I would go crazy without any friends. Even though I'm an engineering grad student, the only thing that makes that remotely bareable is the opportunity to attack a problem with other really smart people -- i.e. the "social" interaction of engineering. As for friends outside of other students, I just moved to Atlanta away from all of my close friends who are still back in TX, and I repeatedly put myself in a situation where I'll be talking to new people. Of course I still keep in contact with my friends back in TX as much as possible.
I made it a rule with myself, any invitation for an event that I get, I go to. This serves two purposes: one, you get to meet new people at each event (and then you are the one selecting the people you want to be friends with and/or date (if they are female), rather than clinging to a few people who you met), and two, it makes the person who invited you feel good, and they will be much more willing to invite you to something again--who wants to feel like they have to drag someone to an event?
One thing I have found interesting though, is that I'm able to talk much more often to the girls I knew back in TX than the guys, and I'm not sure why..maybe girls are more comfortable with the phone? I never really minded talking on the phone like some guys do..