It's tough and awkward and often prone to failure--sometimes catastrophic failure. Basically, it's kind of like dating, only with multiple people.
The best thing is find one of those super-social people and be friends with them, even if you're not particularly compatible, then glom on to any of their 14,000 friends who are actually cool.
It's pretty easy to befriend these super-social people, because, unlike us, they make friends (even with *us*) easily. You can find them at bars, at your work, at social events, in class, etc. Don't be afraid of latching onto them--they like it!