Learn how to do. Learn how to produce, create, and use.
Technically, you want source control, coding. databases. data manipulation, scripting languages. Build a complete tool and process chain.
Write research and grant proposals. Publish results.
Establish your own self management regime. Find tools to help with that.
And of course, networking. That's probably the most important. Establish your network at school for students and professors. Start making industry connections. Professional groups.
School teaches you that it's all about how smart you are, how much you know, and how well you analyze. Those are all just means to production, and not really that most important. Target your efforts at being able to do, not being able to think about doing.
To further elaborate the question: What are the most universally and most useful skills one could learn at a university? Currently, I am studying physics as an undergraduate and I am thinking about my career options. I have gotten opinions in other forums as well but I would really like to hear your thoughts and I also think that other LessWrongers would find such a list useful. To give you a rough idea of what I mean I have two examples:
What are some other skills along this line that are universally useful?