Has it ever been done?Should one rather wait and give their all to the MBB applications or go for the Big 4s and hope to make it to the McKinseys of the world later on....possible post MBA?Or does a Big 4 on your CV damage the chances?

Big 4 is seen by many as being "the big 4 of the accountancy world".

Deloitte Consulting is right up there in the top 5...if we consider revenues. Am I wrong?

Unless it is a lateral hire from another MBB firm, the clock sets back to zero at either of the 2 main entry points - graduation or post MBA so there would be no advantage coming from Deloitte. If you are serious about getting into MBB then go do your MBA at a top flight business school.

Thanks a lot Mars.I do have more than decent results on a recent GRE test that I took (Doctoral program at Harvard), but I am guessing MBB would probably be looking for test results from a more Business specific GMAT?

They will look at your GPA from your MBA - you need to be aiming for Dean's List or equivalent and upper quartile to be in with a shot. If you are serious about MBB go to INSEAD, Wharton etc - i.e. top bs, you get what you pay for.