I'm also a physics grad student (experimental high energy) who is considering industry jobs in addition to postdocs. I've attended several career panels in the past few years. Most recently, a panel was held at Fermilab. One of the panelists started a blog, Science Jobs Headquarters, where you can read about that panel and get other good advice.

A few of my takeaways from the panel: 1) Python is really useful and everyone should learn it. (I need to work on taking this advice. I mostly develop in C++, and my Python is patchy.) 2) Some companies want to hire people with very specific skills and experience, but other companies are just looking for smart people who can learn on the job. The important point here is that few skills are absolutely essential to get a job in data science/private research/consulting/etc. Even if you're not a Python whiz, there are still people looking to hire you. 3) The website Glassdoor was recommended for investigating companies at which you might want to work.