"The art of electronics" is the standard book for physicists to learn electronics from, but I am not sure it fits with what you are looking for. In any case, it is the right kind of book to get started in electronics.
My hunch is that art of electronics is what you are looking for, but I guess I am not sure what exactly you are looking for. On the one hand, "all the physics," could include the quantum mechanics and solid state physics required to understand semiconductors, solving boundary value problems to estimate the frequency dependent resistance/inductance of wires (fun with Bessel functions!), etc. On the other hand, "project type problems that give practical experience," sounds like projects to do things like build a simple transistor audio amplifier you could use to connect your mp3 player to a loudspeaker, etc. I know of no book that includes all of that. Perhaps if Art of Electronics doesn't fit the bill you could provide a little more detail on what you are looking for?
By the way, in my opinion it will not really help in your understanding of E&M - at least when I took circuits/electronics classes (and I took a handful of them) they primarily just taught me about circuits.
EDIT: this is not to say that learning electronics is not interesting or useful. Circuit analogies do come up when modeling electromagnetic phenomena, so it can help with later understanding of EM. I thiink that circuits are fun, too. There is nothing like building a simple audio amplifier that you can use!
enjoy
jason