My friend and colleague, Rev. John Dreyer offers reasons for making the sign of the cross. The whole article is here. Below are a few lines.
Christians made the sign of cross for a number of reasons.
One because it was the center of our confession and marking us as one redeemed by Christ thus pointing us back to our Baptism. It is at the cross where God revealed Himself to us through His Son so we make the sign of the cross while naming God as Father, Son and Holy Spirit.
Secondly we make the sign of the cross on our body. Christianity is a flesh and blood "religion", not merely a spiritual one but a very physical one. The main job of the Holy Spirit is to bring Christ to us in His flesh and blood through His Word and Sacrament. The sign of the cross is made upon our body knowing and confessing that God has redeemed not only our soul but also our flesh, that is, our bodies as we confess, "I look for(ward) to the resurrection of the dead (body) and the life of the world to come." Since our flesh and blood cannot enter into the kingdom of God, Christ gives His flesh and blood as a replacement.
Also the suffering and death of Christ has become our own in Baptism. St. Paul says, "Do you not know that all of us who have been baptized into Christ Jesus were baptized into his death?" (ESV, Roman 6:3) and "For we who live are always being given over to death for Jesus' sake, so that the life of Jesus also may be manifested in our mortal flesh. So death is at work in us, but life in you." (ESV, II Corinthians 4:11-12)
Again, what was once Christ's now has become our own in Baptism. So we sign ourselves as one marked as redeemed in death but in death we see life. So in some of the old movies you may see a Christian, in the face of demon possession or something terrible, make the sign of the cross, marking themselves with the mark of salvation in the face of evil. There are also other times in which Christians traditionally make the sign of the cross during the liturgy and daily devotions. Ask your pastor what the practice is at your church.