Some random things that might or might not apply to you in no particular order of importance:
Don't use "friend-finder" sites so much; you talk about using one elsewhere in this thread, but that's not where it's at. They contain the worst of in-person friend-making and the worst of online friend-making, with few of the benefits. Hanging out at events happening near you with people of similar interests & just throwing an anime avatar on yourself and talking on microblogging websites will both do you far better: Get yourself to where the conversation's happening, don't get yourself to where people are looking for conversation.
Make sure to contact others first, too, at least sometimes. Many times it becomes one-sided (X person is always calling Y person but Y person never calls X person) and that's enough to make just about anyone feel bad & alone.
Make sure to keep things varied; talking about the same thing in a loop kills a lot of the enjoyment that comes with knowing people. Everyone has a lot of things they're interested in; try and scope out who you're talking to, and occasionally just throw in things you're interested in that you think align with their interests. This gradually expands the things you can talk about, and keeps things interesting for everyone in the long-term.
Talk at least as much as you listen. "Being a good listener" is great! At least on paper. In reality if you just act as a soundboard, people find you dull. Contributing to the conversation is important!
Don't let every conversation feel like it's the most important thing in the world. If every conversation feels important, most people (there's an exception with a certain academic type who live and die by this experience but they're few and far in-between if you're not intentionally seeking them out) will interpret it as stressful, and that'll eventually be enough to get them to back away.
Make sure to maintain more than a handful of friendships at one time; almost no people will be able or willing to throw energy at you for the twenty hours you're awake in a day, but five, ten or twenty people allows you to fill your day with it while also not depending on any given person an unrealistic amount.