Unfortunately you haven't mentioned any names so I don't know what types of small consultancies you're looking at, but don't forget there are more than just size factors to look at. Every strategy consultancy has less than 5k employees, whereas implementation firms such as Accenture have nearer 100k, but do very different work! If you joined a strategy consultancy, e.g. BCG with only 2k ee's, you would still get a huge amount of prestige, if not more, than joining Deloitte or Accenture. But as I say, it depends on what work you want to do.