Tbh, I've had trouble making new friends at hobby groups and classes, as most people seem to only go there to learn a new skill rather than make any friends - remember they'll probably all have their own established friendship groups, which can be hard to make your way into. Same with the gym. Not to be a downer or anything, but just thought I'd point that out form my own experiences.
OP, what do you do with your life? As in, are you at college, uni, work, what? If so, those can normally be quite good places to make new friends.