The biggest advice is don't go out expecting to make a close, personal, tell-all-your-secrets, go on holidays together friend. Finding a close friend is almost as hard as finding a longterm romantic partner, save for the fact that you don't have to exclude everyone with close friends from your search.
Instead, just focus on finding large social groups you can join without too much pressure -- anything where ten or twenty people get together on a regular basis. It could be anything from exercise classes to night school to volunteer programs to church groups to boardgame meetup groups to renfaire and LARPing to poetry nights at a coffee shop.
Your goal here isn't to find your soul-friend, it's just to make a lot of friendly acquaintances. People you can talk to about your mutual interests, who will engage in the standard small talk about work and family with whom you can complain and sympathize for five minutes or an hour at a time.
Then, settle in for the long haul of having a social circle. Figure out how much you can commit to -- don't try to do everything if you can really only manage a couple of days a week or month. If you want and can make time for daily or nightly activities with ten different groups, great; if you can only handle one or two groups meeting one or a few times a month each, do that instead.
Again, this isn't necessarily going to result in any friends who will help you bury bodies, but a large circle of casual friends is nothing to sniff at.