I have done it before and I am in the proces of trying to do it again.
My advice is to GO FOR IT! Especially if its just you (no kids, husband, etc.). This will be a new experience, one that will teach you many things about life and most importantly about yourself.
And if things just didn't pan out (but I'm sure they will
) you could always go back home.
Making friends may take a while, but you will. Aside from making friends with people at work, find an activity that will get you out of the house. Sign up for a _____ class (fill in with your favorite hobby), volunteer somewhere, join a book club - do something that will get you out of the house and around people.
If you have graduated from college, contact your school's Alumni office and get the names and numbers of alumni that live there or close by. There may be some alumni there your age or alumni with kids your age that they will introduce to you.
So as Nike says - JUST DO IT!