Do you think you can do something to lose it?
I don't know how you can lose His grace, but you sure can reject it.
What MarkBsnr said!
You can simply not accept God's grace in the beginning.
Jn 6:44 No one can come to me unless the Father who sent me draws him
The Father calls...but you don't HAVE to answer.
You can also walk away from it. Doesn't mean that you "lose" the New Birth, but you can reject its benefits very easily.
Consider the parable of the prodigal son (Luke 15:11-32). Of course, when the son repented of his act and took the action of coming back home, the father immediately rejoiced, forgave him, and welcomed him back home. But what would have happened had the son NOT repented and simply stayed in the "far country?" The father didn't go to the other country and drag the kid back home by the scruff of the neck, did he? Rather, the kid had to become contrite and decide to come back home...