McKinsey vs staying in IBD

If I were you, I would go for McKinsey.

I made a similar switch from banking to consulting, so PM me if you would like to hear more.

Edit: For everyone else, I sent the following to OP as a PM, but I feel it would be helpful to share to a broader audience.

So I'll break this into two pieces - breaking in, and the experience itself.

On breaking in:

Very, very, very tough. You have to have an in with some of the current employees, and if you are a first or second year analyst, they will start you from the beginning, so you have to be committed to making the change. Most of the schools that BBs hire from are also the same schools that MBB hires from, so there will be questions as to the change of heart - is it just hours? Is it grass is greener syndrome? Or is it the actual work itself? On top of that, MBB are very focused on hiring straight from school and teaching them business in their way - it's easier to indoctrinate someone when they're fresh and can be easily molded. MBB also hire many fewer people and from a wider range of disciplines than BBs, so they tend to be more competitive to break into.

That being said, it is possible. The best way, as you mentioned, is to get the MBA and transfer. If that's not in the cards right now, I suggest reaching out to friends who are at MBB consulting (I'm sure you have some if you're from a target school), and talking to them about putting in recommendations. Once you're in the interview, it's basically fair game. Ace the case, and you'll be good to go.

The skill set is somewhat transferable. The PPT/Excel is the main transferable skill, but it is still a fundamentally different job with a fundamentally different mentality needed. Really, the only similarities are that they pay well and are "prestigious".

On the experience:

1. Culture - culture at consulting firms is multiple times better than IB, as far as it can be quantified. You're treated much more like an employee, rather than a resource. You get 6+ hours a night of sleep because crap isn't being dumped on you at midnight. It's less bro-ish (can be good or bad, depending on who you are). In general, IB is much much more hierarchical, so when you're an analyst, you're generally treated as they see you: bottom of the pile.
2. Variety of work - IB is interesting for the first few months, and then the work generally gets dull and repetitive. The first time you built a model or a new chart, it's cool. The 1000th? Not so much. Consulting you're on a different project every few weeks - months, probably in a different industry, so you have a much wider variety of work.
3. Access to opportunities - If you want to work in PE/HF/AM/anything else in the finance world, your best bet is still IB. If you want just about anything else, MBB has better exit opportunities. Even jobs like VC, which are more about networking and startup/operating experience, MBB provides better opportunities.
4. Hours - I don't mind working long hours, so slightly down my list, but generally your average at MBB is 60-70, 50-60 at other firms. My time in IB (I was in a busy group, so probably skewed up) was 90-100 on average. The tough part about MBB comes from the travel. It's easier when you're younger to deal with being on the road 4 days a week, but can be tough if you have a SO or kids. Some partners manage this by focusing on more local clients, and some don't manage this at all (see: McKinsey CEO Dominic Barton's recent divorce). Long term, definitely more sustainable than IB, however.
5. Compensation - IB wins out here overall, but it's not much of a cut. MBB promotes faster (8 years to partner if you're amazing vs. 12 years to MD at an investment bank) and I'm being paid more than I thought I would be; the additional perks (points, expensed meals, etc.) allow for a much higher disposable income.
6. Where I saw myself long term - this is personal, but I saw myself running a business long term, not advising on deals or working as a private equity executive. Consulting provides better opportunities/training in this regard.