To add more confusion to the matter, the Byzantines (both Orthodox and Catholic) do it right-to-left as described by 1Tim215Mommy, but the
Orientals (that is, the Copts, the Syriacs, the Ethiopians and Eritreans, the Armenians, and the Indian Syriacs – again, both Orthodox and Catholic, to my knowledge) do it left-to-right, and have
always done it that way (pamphlets produced by Byzantines polemically declaring one way or the other the way that “all Christians” have always done it are wrong, as are those who look at the way we do the sign of the Cross and assume that we are aping the Latins, without realizing that the Latins themselves used to do it as the Byzantines did until fairly recently, so it really isn’t the “Latin” way. If anything it is the “Oriental” way, and just seems wrong to Byzantines because they think we’re wrong anyway, and because the Latin Church is so much larger and well known than we are. Meh.)
We do it left-to-right is because the theological significance of the movements is different than in the Byzantine tradition. In brief, as it was explained to me by our priests, the symbolism is that Christ came down from heaven (the forehead), was incarnate of the Holy Spirit and of the Virgin Mary and lived, preached, and was crucified and resurrected here on earth (heart), and through His crucifixion, death, and resurrection has carried us from death (left shoulder, recalling that those who will depart from Him on judgment day will be on His left side) to everlasting life (right shoulder, recalling that those who will be told “Well done, good and faithful servant” will be with Him in paradise at the right side of God). So in the sign of the Cross there is the entire salvation history of our Christian faith, and a reminder of the coming judgment and the last day. Little wonder then that we Cross ourselves so much, both in and outside of liturgy!
[We likewise do not fold in two fingers to represent two natures of Christ, for obvious reasons…

Once a Coptic friend asked me why I don’t cross myself the “Orthodox” way, as he had apparently learned to do in the years of going to the local Greek Orthodox Church before we had a Coptic Church here. I told him to pay attention to Father Marcus next time we are at liturgy and do it how Father does it. After the liturgy, he came up to me and apologized for assuming that I was doing it wrong, since he realized after watching the priest that he was the one who was wrong, and following the Greek way without thinking about it, instead of his own Coptic tradition. Haha. Oops!]