You are not alone, even though you are feeling lonely.
It will get better.
It is naturally tough when you feel this way, especially since your roommate (who you like) has friends from high school she likes to hang out with.
You deserve a LOT of credit for joining a religious organization as well as getting into a club - there are a lot of kids who think that making friends just magically happens. You have taken steps to try to address your problem. While the religious organization may not have been helpful yet, give maybe stick it out, and try to give it a bit more time. I am hopeful for you that the club will also prove beneficial.
The idea of transferring may be tempting now, but you may also find that thinking about it too much now will prevent you from being receptive to accepting your new situation.
I think it might be premature to think too much about transferring now. It might turn out that it will be in your best interest, but don’t rush it.
HUGS!