Speaking the language is the key - without it, you will always feel like an outsider... with it you will be able to take part in the daily conversations and become one with the group, one with the people. Through the language you come to understand the country's system, its culture, its identity - and feel safe and secure, knowing how everything "works".
You don't have to give your own identity up either - often you can be treated as special, and respected, if you embrace and respect the country you are in, and not alienate yourself.
And the best way to become fluent in the language is to immerse yourself in it - live and work in the language, and don't just hang around your own kind.
I've been in the Netherlands for 20 years. I know English people who have been here longer than me and still don't feel "at home", because they cling on to English. This "is" my home now and I feel as comfortable here as I would in England.