My observation is that the ease with which people make this transition depends to a large extent on where they lie on an extrovert/introvert spectrum. The former are used to looking outside themselves for stimulus and gratification and often found a great deal of that in the working environment. When that is taken away they feel a big gulf, they are looking around for the contact and external stimulus and "meaning" that work gave them.

The introverts tend to live more inside their own heads, what gives their life meaning and purpose is more self-generated. As a result the transition from work to non-work is not a move from purposefulness to purposelessness, and they feel less at a loss about how to fill their time.

For the extroverts I'd strongly recommend getting a part-time job or volunteering or getting heavily involved in a club or something - anything that involves high levels of social interaction and a sense of being useful.

Personally I can be highly gregarious for briefish periods but am generally introverted, and actively prefer solitude for quite a high proportion of the time. As a result I had very little problem adapting, and relish the fact that I make what is close to an unencumbered choice about how to use each day.