I have some expensive friends (one group in particular) and quite often struggle to participate, without overspending or coming across as cheap. An additional struggle for me is when I know for a fact that their finances are not in any position to be spending the kind of money they're spending. For me that compounds the uncomfortability and makes it hard for me to enjoy the activity because I just wish we could all do something less expensive (more for their sake than mine), and have to remind myself that it's none of my business.
The only advice I can give is to practice and not be afraid to use phrases like "It's not in the budget for me" and "that sounds like fun, but I'm really trying to keep my priorities on X right now" or in the case of the BBQ your friend invited you to, something like "I've really been wanting to try xyz recipe, would it be okay if I brought that?" It's also helpful to have inexpensive suggestions on hand at all times, and especially when it's an event/gift in your honor. Whenever I'm asked where I want to go for my birthday, or what I want for Christmas I make sure I'm prepared with something that aligns with my values (dinner at home, or an inexpensive restauraut, a small and useful gift that I've been considering for a while, etc). Sometimes your friends are struggling with their own impluse control, and perception that they have to spend a lot of money to have fun or show that they value the friendship. And sometimes giving them permission not to spend money on you/your friendship, and showing them that it doesn't have to be awkward/embarrasing to talk about saving money actually takes some of the pressure off of them. Obviously, other times that's not true and they'll just look at you weird. But I've found that the more I am consistently open, unashamed and upbeat about my choices to spend less money, the more my friends seem to admire it. Also handmade gifts tend to deliver far above the cost. I do portraits, and give them (nicely but inexpensively framed and matted) as wedding presents, or christmas presents. Another friend does pottery and massage, and often gives her goods and services away. Most of the time our friends and family just want to know and show that the relationships matter on both sides. We've been conditioned to believe that spending money on gifts or activites is the best and most obvious way to show that the relationship has value - but there are lots of other ways to show that. Figuring out how to do that among our own social groups can be challenging, but also really rewarding.