Management is the best-match subject for consulting. Coming from a finance background, business and management skills are the biggest gap on your CV. Your undergraduate degree provides sufficient evidence of quantitative ability - an MSc in science or engineering would simply give the impression that you wanted to get out of finance, but weren't sufficiently committed to consulting to focus on it at that stage. Although consultancies hire non-business undergraduates, since you have some work experience already, you could be seen as dawdling. The Masters in Management is likely to be your best bet as it will equip you with core business and management knowledge without expecting you to bring hands-on management experience. There are a number of these courses available for non-business undergraduates, e.g. at LSE and Cass.