Good question. I did my diploma in Theoretical Particle Physics and therefore worked one year as a theoretical pysicist.
To your questions:
1) The short answer: Find the error in your calculations. One guy at our institute once said: "Theoretical physicists spend half of their time in finding algebraic sign errors." This is to a degree true.
Long answer: It depends on the field you are working at. Actually Theoretical Physics starts at the point the calculations become too complicated for experimental physics. So for the particle physics this is "Phenomenology". (hep-ph on arxiv.org -- don't be surprised if you don't understand anything there) These are the guys that calculate the - theoretical - cross sections for experiments that are tested at the LHC and other colliders. So this is in the end squaring Feynman diagrams, integrating them and analyzing the results. For some problems you can do that completely with pen and paper for other problems it makes sense to do 95% of that work on the computer. Depends on the research group and what they are working on.
On the other hand there is this completely theoretical physics area. Of course they also need to make sure at some point that their work corresponds with the experiments but they mostly concentrate on "model building". (hep-th on arxiv.org) For instance: We are seeing that Standard Model Higgs mechanism is probably not the way nature implemented the Electro-Weak-Force. Well, why don't we check out what happens if we have 2 Higgs fields instead of one? Or what happens if we change the symmetry group? Sounds interesting but you also pay a price: Most stuff you do is really abstract and will probably not be the way nature has implemented things. :D
Of course there is also Mathematical Physics (math-ph on arxiv), but that is usually done in a Mathematics department. Theoretical physcists usually don't have the time to check every mathematical detail. In particular nobody hasn't been able yet to formalize Quantum Field Theory (= Theoretical Particle Physics) like it has been done with non-relativistic Quantum Mechanics or even Newtonian Mechanics.
2) Physicists don't do mathematics in such a formal way. If they we're that detailed as mathematicians are, there wouldn't be able to do actual physics.
The physicists approach is: Let's do this calculation, it looks formally ok and makes sense. If our cross-checks are not consistent, let's check again and pay more attention to the details.
You'll probably want to ask a mathematician how his work day looks like. (stackexchange...)
3) Me not either. And no, please don't do the same mistake as I did by concentrating to much on the mathematics. Except you have enough time to learn all the important stuff about physics you want to work later on.
Make yourself clear: Physics and Mathematics are completely different subjects. Physics is a Natural science. Are you interested in that? Really? Study physics. Of course you need to do some experiments, they are physicists' source of information. But in the end it matters that you are informed about the important experiments that matter to your work.
Are you interested in abstract concepts and the physics doesn't matter to you? Study mathematics.
If you are in between, consider studying Mathematical physics. But make sure your university has a mathematical physics department. I recommend you to talk to students or professors to get some first hand information. Mathematical physics is also really interesting. Take dynamical systems for instance or google for Wightman axioms.
4) Yes of course. Is there a chance to become a professor? Of course, but you need to be focussed and make smart decisions. The process differs from country to country. About Germany I can say it is easy to get into research. But it's not easy to become a professor. Make yourself clear (in one or two years) whether you are a research guy or whether you are just interested about the subject.
Again I recommend you to visit a university and ask as many questions as possible to the mathematicians and physicians there. Most universities have regular events for students interested in studying at their university. At least in Germany there are a lot of student's organizations you can talk to and a lot of mathematics and physics departments have professors that are specialized in helping you with your questions.
EDIT: I want to be more precise about the rigor. Theoretical physicists need to be as rigor as mathematicians. But: Their rigor is focussed on the physics not on the mathematics.