I certainly found it hard going back the second time but I'm so glad I did now. I know several people by face to chat to while I'm there now, recognise many of my neighbours and can chat to them casually while walking by (they attend the group too) and one person (who I'd also seen outside the nursery ds goes to) I've now spent some time with at her house (and she's due to visit me next week).
My HV was good in that she put me in contact with someone else who was new in my area who was finding it hard to make friends (i.e. not a group, just someone to chat to and have coffee with) and I've seen her a couple of times.
Also, look out (or even initiate) for mumsnet meetups in your area. They're great. Although we haven't managed to arrange a "proper" meet up with others, I have met up with WSM (I hope she doesn't mind me saying this, lol) which went a long way to making me feel less friendless in a strange area.
I moved here in July (although in practise with it being summer holidays, didn't really start meeting people "properly" until September), and I'm just now starting to feel that I know people here and maybe have potential friends I can call up and suggest a coffee with. So, it doesn't happen overnight, but it is possible, and quicker than you initially expect it to take.
The other thing you could look into - does your Health Visitor run any post-natal groups? I found that invaluable for meeting people in the same boat and making friends. Try hanging around the health clinic lots and make small chit chat with the other mums waiting - you'd be surprised how many are in the same position as you and would be happy to meet up!