Agree with the above poster.
Industry people have a strong general misconception about 'experience' and if you can't prove to them that you know and love their industry then they'll probably pick a less bright industry candidate purely on the basis of risk.
It's ridiculous, but it's part of why they need our help so often - hiring a generalist seems ok if they have a big consulting brand behind them and if you're paying such a high day-rate then they must be ok!
You need to be careful in the industry you choose as you will be stuck with it day to day, if it doesn't interest you, or is constrained by factors such as unionisation, the time will drag.
Also, fewer and fewer firms have in-house strategy and research departments for two reasons:
1. You can hire someone in with better credentials (see above) and save yourself the overhead
2. You can blame them when the strategy doesn't work out.
Good luck though, I've just returned from a spell in industry and the sheer challenge of gaining enough momentum to achieve change was like being a shepherd. And I'd always liked One Man and His Dog on the telly!