When I was preparing to leave physics for data science, I was quite clueless about what I was getting myself into. I only knew that I wanted change, but not what that change was or how to pursue it. Nonetheless, there are things I could have known then that would have been very helpful for me in finding my way. In this talk, I'll reflect on what I've learned in the last three years in industry and offer some advice to how to decide if this is the right path for you and how to get started if you already know it is.