God's word assures me that I have been saved by grace through faith and that it's not of my own works or efforts. All those who come to Christ in faith are IN a state of grace because that is how we ARE saved - by grace. Just as we are not saved by our own merits (say, not sinning, doing good works, saying prayers, etc.) we are also not KEPT saved by those efforts. We are found In Christ, not having our own righteousness, but the righteousness which is of God by faith (Philippians 3:9). The grace that saves us, keeps us saved.
And, in anticipation of your next tack, saving faith IS a faith that is demonstrated in a changed life. The "old nature" is crucified with Christ and we have been given a new nature - a SPIRIT nature - that internally renews our minds. This is a "living faith" that the lives we now lead we lead by the grace of God in gratitude for His mercy and because we are now geared towards righteousness in order to honor and glorify God. We may slip from time to time, because that old nature keeps crawling off the altar, but the spirit always draws us back to Christ and repentance. We never are cast away, lost or unadopted, that same grace which redeemed us keeps us saved - even if/when we slip. When that awesome truth is finally revealed to our hearts, how can we EVER desire to remain in sin?
Catholics do not believe we are saved by our own efforts, but we do believe that we are made in the image of God, and our nature was not so corrupted by sin that our inborn gifts have no efficacy. As to assurance, I am not quite sure how to reconcile the confident attitude of modern evangelicals with that of, say , say the Puritans who kept spiritual journals so they might discern whether they were among the Elect or not. You all seem to have more in common with John Wesley and his methodism than Calvin.