Finish the programme and get promoted to G7/Principal - or whatever the equivalent is in your Department.
You could start off in Government consulting with the likes of PA Consulting or the Big Four and move across to other market sectors, as many Fast Streamers have done since the 1980s.
A better bet would be - if you are good enough - to join a strat house. McKinsey or BCG (Bain much less likely to look at civil servants). McKinsey particularly is fond of Fast Streamers.
Mr Cool's suggestion to apply now for a blue chip corporate is valid, although your attractiveness to them may depend on the relevance of your Departmental experience to the organisation concerned.
Camster's advice to go for an MBA at INSEAD (I'd also suggest IMD and LBS) also makes sense. In the days when I used to hire civil servants into consultancy, there were Civil Service schemes to sponsor Fast Streamers at Business School, with rather weak fee clawback terms. Worth checking whether these are still offered.
Finally, if you can get a Private Office and an EU rotation posting, these are the most prestigious - in the eyes of the consultancies and blue-chips - Civil Service appointments.
Whatever you decide, I'm sure you won't be disappointed. You have a strong foundation on which to build.