I took the same route you are taking less than a year ago, successfully. The good news is that the market for consultants is currently buoyant, the bad news is that the entry hurdle is still extremely high and most consultancies don't understand people with a military background. I think the first questions are to focus on what specifically you see yourself doing and where you want to do it; defence consulting based in Europe, FMCG in SE?? Hopefully this should accurately match your skill set and experience, or you will struggle to get interviews. Then get some information on the MC market, and recruiters, to gain a feel for where and how to apply. Also consider timescales, time available for interviews, and expect to be asked some pretty direct questions about your qualifications, experience, motivation and achievements.
If you like send me an email address and I will help if I can.