Data science after a physics degree?
I think the best thing for a beginner is some practice to let the theory sink in. (If you need book suggestions, do a search.) If you are weak on computer science, contribute to an open source project like scikit-learn. If you are weak on data analysis, compete in a Kaggle competition. Write a paper and/or a few blog posts to prove your skills. Do this now while you are in school. An undergraduate physics degree should be enough to get your foot in the door if you do the above. A degree will rarely get you a job by itself; you still have to pass the job interview, and that's why I recommend getting practice.