actually you could just leave out the quant practices and go straight to the banks - IB has an appetite for people with your background and the PhD route is well trodden. Risk would be an option - typically market given your strong quant education - but frankly I wouldnt even go there, get yourself into the quant team of an IB working on developing trading models. From there you can look to make the jump to front office.
plenty of books around which will teach you some essentials of financial modelling. just grab a couple of those and get some grounding in it - but if you can do post doc in physics it wont be much of a leap.
consulting wont really give you all that more in variety of work if you join an EY or OW etc than a bank will, and the money will be considerably less. if you dont fancy banking of course then you could look at using your education in data insight and statistical analysis in consulting, eg in customer insight analysis for a consulting firm or think tank.
or there's always teach maths or physics - always need more of those. money isnt good at all for what teachers do, but I imagine an enormous sense of fulfillment (assuming its not all about the money).