I had two blog posts exactly on that topic, math/phys -> data science:

- why: http://p.migdal.pl/2015/12/14/sci-to-data-sci.html (on academia vs industry)

- how: http://p.migdal.pl/2016/03/15/data-science-intro-for-math-ph... (also got reprinted at KDnuggets)