First of all, don't neglect your university's resources. Network like hell. Find out where other recent graduates ended up. Ask all professors who will give you the time of day if they have industry connections they would refer you to. Go to the career center. Go to career fairs. Print out tons and tons of resumes.
Speaking of resumes, what are your skills other than theoretical physics? And how wedded to doing physics in your job are you? If you can reasonably put R or MATLAB or even SQL on your resume, let alone proper programming languages or projects, you'll be opening up worlds of opportunities as an analyst or data scientist. Learn about how to use LinkedIn. Optimize your resume for visibility to keyword-based recruiters.
I strongly recommend a job search approach where you try to get as many responses as you can, THEN prune down. You'll get interviewing experience and you'll get to see some options you might not have considered.
I'm not at all wedded to doing physics in my next job, I'd be happy to switch to something more engineering/computer based or even (slightly less so) financial.
Skills wise I try to stress that I have multiple first authored publications (so I'm decent at writing) and several presentations at conferences and to funding agencies (good at speaking). Outside of that though I am very proficient at Mathematica and have what I'd call 'hobbyist' knowledge of python (I can write small scripts and programs, use libraries like SciPy).
This leaves me in a spot whe...
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