The first lesson is to stop thinking of people who aren't JW's as "worldly people." It seems like a simple and obvious thing, but truly, getting that idea out of your head is harder than you think. But it will break down the barriers necessary to form lasting friendships.
I think the second lesson is understanding that not every friend you make will be a lasting friendship, so don't be discouraged if friendships come and go. You are in a state of transition at this point in your life. You are moving from a stifling, brainwashing organization that has defined you for x number of years, to building a new life for yourself. Who are you? What do you believe? What do you want out of life? Those are things you will have to figure out, and different people might get you through that. Sometimes you outgrow friends, sometimes you find that you don't have things in common with people anymore, but I can assure you, that the people who get you through this transition will be people who change your life and you'll never forget.
Personally, I celebrate the holidays now. At first it was a novelty, but now holidays are a time for celebration and reflection for my own personal reasons, not buying into all the commercialized hype. You should do what feels right to you, and if the holidays don't feel right to you, then respectfully decline celebrations with friends and don't be afraid to tell them why (just avoid trying to convince them they shouldn't celebrate holidays either... old habits are hard to break). However, I would recommend taking the time to examine and reflect on why exactly you feel celebrating holidays is wrong. Breaking the indoctrinization is lengthy process of rethinking every "truth" you ever believed, and reaching your own independent conclusions. While real friends won't judge you for not celebrating holidays (or for celebrating holidays!), you might very well find that, for instance, counting down and toasting the New Year with good friends and a nice bottle of champagne is a wonderful experience.
Good luck with your transition, and I hope you find wonderful people to help you through. I am so grateful for the friends I have, it more than makes up for the false friends I used to have.