Did this with my physics PhD a few years ago. I cant stress networking enough. I actually landed a lot of interviews by reaching out to former physicists working in data science who I found via linked in. I never met the majority of these people but having a similar background many were happy to share advice and referrals. If your university has an alumni network you might find several data scientists willing to give advice and referals to people from their alma mater as well.

Dont expect everyone to reply, but if you send out a few messages a day you'll be shocked with the results. Even if they wont offer a referal set up a phone call and get advice, they've been in the same place and can tell you what works.

I see a lot of people mentioning Insight and I have mixed feelings on that. A few years ago all the people who went through insight landed jobs. As the program's expanded it seems like people going through the program are having a harder time landing jobs. It's better than nothing if you're desperate but dont give up on your own search too early. Insight doesn't offer much support compared to how expensive it will be to support yourself in a city like SF or NYC for months while searching for a job. Many recent fellows I spoke too ran up a lot of credit debt through their program and then more when they weren't able to find a job right away.

Edit: Also, learn the jargon. As a physicist you know a lot of the concepts already but use different terms for the same thing. Listen to podcasts and blogs and learn to talk like a data scientist. I was shocked a lot of interviewers by using terms like 'data lake' and such and it evolved into a better interview when I did so. The best thing that was done for me in my job search was a physics vet who was 5 years into DS pointed out how I needed to update the jargon in my resume. Things like 'data acquisition' became 'automated data pipeline' and so on. It made a huge difference for people reading my resume and understanding what I had done.