If you're an undergraduate, you can get involved in some physics research right away. Just email a professor who knows you well (preferably one in whose class you got an A or high B), and ask if he has any projects you can work on. There are even a couple programs whereby the university can pay you for your work. My school had a program called UROP for students who were doing projects during the school year. Most schools also have a program called REU for doing summer research.
If you're almost out of college, then you might consider applying to grad school, but that's a whole other story.