How do you integrate abroad?

As most of us here live abroad in foreign lands, how do you feel about integration and assimilation? Do you take one's adopted country's customs while balancing one's heritage or totally immerse yourself in the new country's culture?

This also applies to ethnic and religious integration resp. assimilation, i.e. wearing head coverings, be they yamakas or shawls.

What brought this up was a discussion where an Asian fellow started espousing prejudicial stereotypes while, on what I perceive as a more positive note, some of my African American friends who make a point of staying true (however you want to define it) to African American culture while integrating daily in blue blood financial services firms.

what is your perspective?