It is haram to take Kaafirs as friends. Allah says in the Qu'ran:
“O you who believe! Take not the Jews and the Christians as Awliyaa’
(friends, protectors, helpers), they are but Awliyaa’ of each other.
And if any amongst you takes them (as Awliyaa’), then surely, he is
one of them. Verily, Allaah guides not those people who are the
Zaalimoon (polytheists and wrongdoers and unjust)”
Here it says that taking Jews and Christians as friends make you one of them.
In this verses below, Allah says that taking kuffaar as friends incurs the wrath of Allah and his eternal punishment.
“You see many of them taking the disbelievers as their Awliyaa’
(protectors and helpers). Evil indeed is that which their ownselves
have sent forward before them; for that (reason) Allaah’s Wrath fell
upon them, and in torment they will abide.
- And had they believed in Allaah, and in the Prophet (Muhammad) and in what has been revealed to him, never would they have taken them
(the disbelievers) as Awliyaa’ (protectors and helpers); but many of
them are the Faasiqoon (rebellious, disobedient to Allaah)”
Another verse shows this with reason:
“O you who believe! Take not as friends the people who incurred the Wrath of Allaah (i.e. the Jews).
Surely, they have despaired of (receiving any good in) the Hereafter,
just as the disbelievers have despaired of those (buried) in graves
(that they will not be resurrected on the Day of Resurrection)”
However this applies if there is no fear of harm.
Allah says: “Let not
the believers take the disbelievers as Awliyaa’ (supporters, helpers)
instead of the believers, and whoever does that, will never be helped
by Allaah in any way, except if you indeed fear a danger from them”
[Aal ‘Imraan 3:28]
So you can be friendly with them if there is danger because of not
being friendly. You can make friends with them if there is fear of
evil that may arise if you don't. In your case, there is probably no
fear so being friends with them is haram.
About your question:
Eating with them is not haram if there is shar'i reason such as inviting them to Islam or to guide them to the truth. In your case, it would be haram as stated in the verses. Saying Grace is imitating the kuffaar and is haram becaude of the hadith:
It was narrated that ‘Abd-Allaah ibn ‘Umar said: The Prophet (peace and blessings of Allaah be upon him) said: “Whoever imitates a people is one of them.'' (Islam Q&A)
Changing Grace to an Islamic way is haram as it is imitating the kuffaar. Even though you change the words you are still copying the kuffaar in doing the act. You should say the Dua before Eating (Bismillahi wa'laa barakatillah).
However, because you are already friends with them and if you just stop your friendships, they might cause harm to you because it might have hurt their feelings or you fear that they might than in that case it would be allowed to eat with them but you shouldn't enjoy it. The verse below allows this.
“Let not the believers take the disbelievers
as Awliyaa’ (supporters, helpers) instead of the believers, and
whoever does that, will never be helped by Allaah in any way, except
if you indeed fear a danger from them”
[Aal ‘Imraan 3:28]
Source: Islam Q&A