Reasons that doing a senior thesis project will help you if you're considering graduate school:
(1) Reference letters. There is much more referees can say about you if you've done a thesis project with them, compared to if you simply took one of their classes. They can assess your work ethic, your passion for the subject, your practical skill set, etc. - all of which are imporatant dimensions of a person that aren't always accurately reflected through GPA.
(2) Research experience. You don't need to do an official REU. A graduate thesis counts. And sometimes it can even lead to a publication, which also bolsters your chances for acceptance.
(3) Personal experience. A senior project is one thing you can do that will help give you a glimpse of what life as a graduate student will be like. Even if you end up hating it, I think it's far better to figure this out in the final year of undergrad than once you're committed to a PhD.
Also along these lines, I might add that really projects are what physics and research are all about. Courses are just preparing you to embark on them. If you don't want to do a project, why exactly was it you began studying physics anyway?
(4) Skill development. These kinds of projects can often help you to develop skills that you can use in graduate school and even market if you decide to leave academia.