I suppose that would depend upon your industry experience. If you want to go to an in-house consultancy at a bank but have worked for 5 years in Telco, you may struggle. Perhaps COO function roles are also worth considering?
In-house consulting does sound viable for your background in terms of skillset. I believe that there are a number of other threads that cover where there are in-house consulting practices (BT, Deutsche etc). It is also worth considering whether the move is to avoid the consulting politics - as Tony intimated in a previous thread, internal consultants still face a lot of the same challenges.
If you go for the industry option consider which functions you have worked with predominantly and focus your applications there.
Best of luck.