Hate to be the bearer of bad news, but unless you have permission to work in the UK, most consulting firms (actually, most employers of all types) won't even bother interviewing you. Work permits are hard to come by in the UK, although you might consider the new 'skilled worker' permits that are available.In your shoes, I would probably look for a job in Canada with one of the big consultancies, then try to move internally after a year or two. Much easier to secure work permit that way, and your employer is far more likely to sponsor a known quantity.
