I'd go into banking, that's where the money is
The level of "analysis" in consulting will do your head in. You'll probably be doing "analysis" with humanities graduates who get all worked up about percentages. I can once remember, as a junior analyst, being given a half day "training session" by a middle-manager about "compound annual growth rates". Not exactly obvious stuff to the average man in the street, I admit, but I could do exponential logarithms in my head at the time and this, in comparison, was very, very simple stuff. Yet, to this chick-lit MBA with a degree in fine arts or whatever, it clearly required extensive discussion. I think she was on some sort of ego-trip because, obviously, nobody could ever be as clever as her when it comes to working out a percentage increase over a few years.
So, basically, with a postdoc in maths, the level of "analysis" you will experience in coonsulting will do your head in. We're talking percentages and pie charts. If you're really, really fortunate, you might come across someone who does a scatter chart in Excel and quotes the R squared value or something - but, almost certainly, they won't have a clue what it means. Many of them are the sort of plonkers who consider calculations to be a "matter of opinion" and the like. If you have any sort of analytical brain, it will be wasted
I say avoid the fluff and go into banking, where you can actually apply your skills and make some money.