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It's work in progress but this book seems interesting so far: http://www.manning.com/zumel/

(Disclosure: written by a friend.)

I skimmed through the intro and just bought the book. Thanks for the rec!

I love the idea of being able to interact with the authors as they write the book.

Minor in economics. Skip on taking extra macro classes and instead take as many econometrics and micro that you can. Economics (or another quantitative social science) is often the missing ingredient for a solid data science background. Sure physicists have good quantitative skills, but you also need to understand what the important/relevant [business] questions are to ask.

Head over to kaggle.com and participate in a few competitions. It will look good on your cv and some companies have begun to require that candidates have a "kaggle-score"