If you're looking for conversation tip, honestly one of my favorite ways of talking to people is just asking lots of questions and doing engaged listening. Add little tidbits now and then, but people often like talking about themselves. As long as you seem like an enthusiastic listener, they'll generally like you. There are a lot of Tedtalks on how to meet strangers but I often find these good to ask:
"What do you do for a living?"
"What do you do for fun?"
"Are you from around this area? Any food recommendations?"

As for how to feel better about being alone, I've moved to a new place and as a crazy high level extrovert with no friends in this new town, instead I go to Starbucks or a bookstore and work on my laptop. It fulfills the brain part of being around people and etc without having to be overly involved. I get depressed insanely quickly without interacting with people so it's a must for me to be able to fill that void in any way possible. Going to the mall and wandering through helps as well. Generally I put in headphones and wander through.

Other than that, I agree with everyone else's ways to meet new people. Volunteering and meetup groups are a great option to at least connect. But really the most important part is to get out of the house and make opportunities to meet people.

Good luck!