The following are the ways to acquire that mathematical wisdom:

(a) Self-driven interest,

(b) Internal indepth feeling of the problems under test, and

(c) Regular observations and practices.

Your question is almost self-answered: one obtains that knowledge by studying Mathematics, of course. But maybe what you meant was "where" (instead of "how") can you find that knowledge, presented in an understandable manner. In that case, my answer would be "it depends on what branch of Physics are you interested in". For instance, for Quantum Physics I would recommend Philip Blanchard and Erwin Bruning's Mathematical Methods in Physics (2nd Ed., Springer Verlag, 2015) and the older but very well motivated Martin Schechter's Operator Methods in Quantum Mechanics (Dover, 2002). Both of them are excellent. Regarding the more differential geometric part of physics (Gravity, Gauge Theories and all that) I would suggest Theodore Frankel's The Geometry of Physics, An Introduction (3rd Ed., Cambridge UP, 2012), which in its 3rd edition has become kind of encyclopedic. Another text more centered in explicit computations and containing lots of examples is Analysis and Algebra on Differentiable Manifolds, A Workbook for Students and Teachers, co-written by one of my long-time collaborators, Jaime Muñoz Masqué, and published in Springer Verlag (2nd Ed., 2013). Any of these will put you on the right track to gain the required knowledge for working on Theoretical Physics.