Join a cooking class. Do yoga. Join a recreational sports team. Go to the gym. If you're in college, join clubs/organizations. Join a fraternity. Be an RA at a dorm.
I traveled over 2000 miles and was the only student in my class to attend my college of choice. I had no friends entering college and had some social anxiety. The best way I've found to deal with it is simply through continued social contact. Be parts of clubs and organizations that center around themes that interest you. Gaming clubs, anime clubs, music clubs, whatever it is you like. They're great ways to meet friends who share an interest in a very easy going, casual environment.