If we use the category approach we can automate this behaviour.
\DeclareBibliographyCategory{asterisk}
We use a macro to avoid having to type too much
\newcommand*{\addcat}{%
\ifcategory{asterisk}%
{*}%
{}%
}
Then we add the asterisk to the bibliography with
\renewbibmacro*{begentry}{\addcat}
Finally, we patch relevant numeric-comp macros to also include the asterisk if need be (you will need the xpatch package for that).
Which macros we need to modify heavily depends on the style, phys is based on numeric-comp. A rule of thumb is that every \printfield{labelnumber} needs an additional \addcat.
\xpatchbibmacro{cite:comp:comp}
{\printfield{labelnumber}}{\printfield{labelnumber}\addcat}
{}{\typeout{failed to patch cite:comp:comp macro}}
\xpatchbibmacro{cite:comp:end}
{\printfield{labelnumber}}{\printfield{labelnumber}\addcat}
{}{\typeout{failed to patch cite:comp:comp macro}}
\xpatchbibmacro{cite:comp:inset}
{\printfield{labelnumber}}{\printfield{labelnumber}\addcat}
{}{\typeout{failed to patch cite:comp:comp macro}}
Works to be marked with an asterisk are handed over to \addtocategory{asterisk}{<citekey>} as in
\addtocategory{asterisk}{geer,knuth:ct:b}
MWE
\documentclass[12pt,a4paper]{article}
\usepackage[style=numeric-comp]{biblatex}
\usepackage{xpatch}
\usepackage{hyperref}
\addbibresource{biblatex-examples.bib}
\DeclareBibliographyCategory{asterisk}
\newcommand*{\addcat}{%
\ifcategory{asterisk}%
{*}%
{}%
}
\renewbibmacro*{begentry}{\addcat}
\xpatchbibmacro{cite:comp:comp}
{\printfield{labelnumber}}{\printfield{labelnumber}\addcat}
{}{\typeout{failed to patch cite:comp:comp macro}}
\xpatchbibmacro{cite:comp:end}
{\printfield{labelnumber}}{\printfield{labelnumber}\addcat}
{}{\typeout{failed to patch cite:comp:comp macro}}
\xpatchbibmacro{cite:comp:inset}
{\printfield{labelnumber}}{\printfield{labelnumber}\addcat}
{}{\typeout{failed to patch cite:comp:comp macro}}
\addtocategory{asterisk}{geer,knuth:ct:b}
\begin{document}
This is just filler text \cite{geer}. This is just filler
text \cite{worman}. This is just filler
text \cite{geer}.
Text \cite{knuth:ct:a} an \cite{knuth:ct:b} again \cite{knuth:ct:a,geer,worman}.
\printbibliography
\end{document}

You can also let the asterisk only appear at the first citation if you enable citetracker=true and change \addcat to
\newcommand*{\addcat}{%
\ifboolexpr{(not test {\ifciteseen} or test {\ifbibliography})
and test {\ifcategory{asterisk}}}
{*}%
{}%
}
\citescommand. Se page 82 of the biblatex manual, or section 3.7.3 in case the page numbering has changed since my download. You'll need to have a play with it. – Chris H Jun 11 '15 at 15:00