Why do we have to make the Sign of the Cross physically? Every time we go to the church, we can make like multiple signs of the cross during the mass. Is it wrong if I make my sign of the cross by just speaking or with my mind other than doing it repeatedly with my hand?
The reason a Catholic does physical acts of devotion, and not simply mental ones, is because he is composed of a body and a soul. Bodily acts affect one's soul.

St. Thomas Aquinas writes in Summa Theologica II-II q. 84 a. 2 co.:


  As Damascene says (De Fide Orth. iv, 12*), since we are composed of a twofold nature, intellectual and sensible, we offer God a twofold adoration; namely, a spiritual adoration, consisting in the internal devotion of the mind; and a bodily adoration, which consists in an exterior humbling of the body. And since in all acts of latria* that which is without is referred to that which is within as being of greater import, it follows that exterior adoration is offered on account of interior adoration, in other words we exhibit signs of humility in our bodies in order to incite our affections to submit to God, since it is connatural to us to proceed from the sensible to the intelligible.


*"Concerning Worship towards the East" (ad orientem)**worship due to God alone