You've already gotten a lot of answers, but many seem to be from the point of view of mathematicians, or people who do both mathematics and physics. This answer is from the point of view of someone who did a PhD and some postdocs in theoretical physics, and very strongly believes "physics is not math" and shouldn't be math.
Here are some skills a good theoretical physicist needs:
- Look at a real physical system and identify which features are key to understanding the system and which are second order details.
- Develop toy models that can be solved analytically, or approximately, and give insight into how those key features explain some phenomena.
- Understand the ways in which the toy model gives insight, and which ways the toy model oversimplifies the real world. And, understanding how complications in the real world that cannot be treated analytically affect the behavior of the real system.
- A sense of numbers and scales -- being able to quickly do dimensional analysis and mental arithmetic to determine if some effect is likely to be important or not.
- The ability to calculate -- correctly perform a long sequence of steps to start from first principles to the answer in a usable form. Calculation is different from proof -- for example, the goal is usually to understand in detail a special case that is relevant to a specific physical problem, rather than make a general statement about all cases in some class.
- Intuition and ability to guess new laws. New scientific laws cannot be derived logically from first principles, they need to be guessed, usually based on keeping some physical principles from previous theory and modifying others in a specific, motivated way.
- Knowledge of phenomenology (specific experiments and bounds) and a sense of which bounds/results are the most likely to be relevant to constrain some new model.
- Ability to keep in mind multiple possible contradictory explanations for a currently unexplained phenomena, and maintain a "scorecard" as new discoveries happen and evidence builds for or against different theoretical explanations.
Now, I suspect that mathematicians also do many of these same kinds of things when they are working at an intuitive level before they settle on a particular theorem they want to prove.
I think much of the difference comes down to what physicists are trying to communicate to each other, vs what mathematicians are trying to communicate.
I think mathematicians want to convey absolute certainty about a logically well defined statement, with some kind of optimal tradeoff between having general assumptions and a powerful conclusion that is determined by the specific field being studied. The "absolute certainty" means a proof is necessary, and finding this "optimal tradeoff" means that a lot of work is put into defining precisely the assumptions that are being made.
Physicists are more interested in describing Nature than in making absolute mathematical statements. A general assumption about Nature is that various functions (like density of a fluid) are smooth (for example as a function of space and time). Therefore, when doing calculus, often proof the exact assumption on a function needed to perform some step is justified is not so important, because functions are usually "sufficiently smooth" than any reasonable assumption is going to end up being satisfied if you check it.
I understand why that probably sounds maddening to a mathematician. But there is a physical reason for it. Suppose that it turns out that this assumption is not correct, that is, that the density of a fluid behaves in a way that we can no longer assume it is arbitrarily smooth. From a mathematical point of view, we can assume that we are working in some well-defined mathematical framework, like the Navier-Stokes PDE, and carefully study solutions which do not obey typical smoothness requirements. From a physics point of view, the lack of smoothness may be pointing to a breakdown in the mathematical model we are using to describe the situation. It may point to the fact that in this case, we cannot treat the fluid as a fluid, and may need to consider the particle nature of the underlying atoms, governed by some other equations. Of course, you'll find exceptions -- physicists who are interested in the mathematical details. But, historically, understanding approximate solutions and physical principles has proven much more fruitful than understanding exact solutions or physically unmotivated but logically possible pathological cases.
Another version of this idea is that one of Hilbert's problems from the early 20th century was to "formalize physics." Most theoretical physicists I know would consider this a waste of time. The reason isn't that it's bad to have a logical foundation for your subject. The reason is that the physics Hilbert was talking about was classical mechanics. All of that physics was replaced, since the he proposed that problem, by quantum mechanics. We never know if our theories are complete, we typically believe our theories are effective theories that are superseded at some deeper level of understanding, and may even contain logical inconsistencies that we punt to a future unknown theory to resolve (like singularities in GR). So, from a physicist's perspective, it's much more interesting to calculate consequences of theories in regimes where everything is well behaved, then to consider the kinds of "pathological" cases you would need to make the theories fully mathematically rigorous, given that these cases might not be of interest physically and even if they do represent something that occurs in Nature, might need to be treated in a different framework.
To try to summarize this in one overly-simplified sentence: I believe a lot of the difference between math and physics boils down to the fact that mathematics is deductive -- it starts from a known, logical starting point and studies the consequences in a logically rigorous way -- whereas physics (like any natural science) is inductive -- the basic principles are always provisional and most of the work is either trying to calculate consequences of the basic principles in specific situations or trying to find holes in the currently accepted framework to get clues on what might lie beneath it.