If you're in a reasonably large city, have you tried making or joining a thread in the Meetups and Social Events subforum? Although I have quite a few Mustachian friends back home (I lucked out, it's just how we've all always been), I recently moved to a new city and didn't know anybody when I got here. I posted a meetup thread, and got invited to a weekly board game night with a local Mustachian and his more-Mustachian-than-not friends. I haven't been able to go for the past couple weeks for various reasons, but it's very fun when I get the chance.
You might also try meeting your friends halfway. For example, I just met some new people who like to go out to eat a couple nights a week. They're my only friends in the city besides the folks from board game night, so I try and hang out with them whenever I can, despite the expense. Next week, though, rather than go out to a restaurant or bar on Thursday night, I suggested we meet at a coffee shop to play cards. It's still going out to pay for food and drink, but the options are a little less expensive. More importantly, the card game will hopefully replace the food as the entertainment, which might eventually lead to playing cards at someone's house rather than at the coffee shop. I'm not going to push it, but that's a smooth enough transition that it might happen on its own.
Playing up the "fun" aspect is a big help too. I don't think anyone here has caught on that I don't own a car - not even the guys I work with who see me ride in every morning. I just play it off as fun, whether that particular ride was actually fun or not, and everybody says "oh cool!" and goes on with their day. Playing cards is fun, hiking is fun, picking apples at an orchard and baking pies afterward is fun (perfect season now too). Play up the fun part instead of the cheap part and that should get you a bit further.
