What do you do when you are lonely?  You reaction to loneliness is called a coping strategy.  Research on loneliness done by Rubenstein and Shaver shows that there are four main categories of coping strategies.  Which of these apply to you?
This first type of coping is called active solitude.  What this means is that when you feel lonely you have a tendency to engage yourself in active behaviors, like writing or reading, etc.  These kinds of behaviors are generally believed to be healthy behaviors, since they tend to pull your mind away from the loneliness and direct your energies to something positive or creative.  It is also generally believed that people who engage in active solitude tend to be individuals who suffer more from state loneliness than trait loneliness.  That means that you are probably lonely because of some situation you presently find yourself in (like moving to a new area) and if the situation were to change you would probably feel a lot better.  Your friends probably won't describe you as a very lonely person.  Therefore active solitude is a good way in trying to deal with loneliness, especially if it is a situation  you can't escape.
The second type of coping is called spending money.  In general, it is thought that spending money can have some beneficial effects, because it gets you out of the house (assuming that you shop offline, in malls and shops) and meeting new people.  But if your spending money doesn't cause you to get out the house and meet new people, then it probably isn't such of a good thing.  The researchers studying this type of coping were a bit ambivalent as to whether this is a good or bad coping strategy.  In any case, if you are spending money you don't have for things that you don't need, then this type of reaction to loneliness can prove to be extremely unhealthy.  You should consider buying things that will cause you to be social with other people.  The important thing is, when you feel lonely, get up, get out the house, got out to the malls, see what they have, and just look around without spending too much.  Perhaps you can leave your credit cards and money at home, so that you will be forced not to spend anything.  And carry a friend with you and see the sites together.
This third type of coping to loneliness is called social contact.  In general, it entails trying to call a friend, going to visit someone or trying to establish some kind of social contact when you have feelings of loneliness.  The researchers thought that social contact may be a good way of dealing with loneliness.  In general though, you should not be burdening your friends with constant calls for social contact.  But if you have friends to talk to, and yet you still feel lonely, you should stop and ask yourself, why?  Maybe the relationships you have aren't as fulfilling as you'd like them to be.  Maybe you need to go out there and make some new friends who can satisfy the need for a deeper relationship.  Maybe you should take one of your present relationships to a deeper level.  Something to think about.
Out of all the types of coping strategies to loneliness, this is the most looked down upon.  But don't despair.  Sad passivity means that you are involving yourself in types of behaviors that amplify your loneliness instead of relieving it.  These behaviors include such things as watching TV, sleeping, eating, taking tranquilizers (or alcohol, etc), sitting and thinking and doing nothing.  By engaging in these types of behaviors it only makes your situation worse, and the loneliness only pains you more sometimes.  But you probably feel powerless to do anything to change your situation.  You have to make a conscious decision to stop this sad passivity and move onto something more positive.  Take it one step at a time, find a new hobby, go out and join a new club, pick up exercising, find something useful to do with your time, something that will make you a better person.  Find someone to talk to about your loneliness.  It's okay to feel lonely, but it's not okay to keep feeling lonely all the time.  It's time to move up and move on!