Well, everyone has a different way of doing this so YMMV but see below:
1. Get a book or download PDFs of case consulting files online. I'd start with Case in Point -- it's a decent start.
2. Start with reading 20-30 cases of different types: Profit/Loss, New Product/Market, M&A, Growth, etc. And across different sectors: Finance, Tech, Oil/Gas, Industry, etc. Just read them through and through to build a mental database of problems and how they were solved.
3. Then pick 10 of the difficult cases from the 30 above and actually "solve" them on paper.
4. After you've done #3 well, start reaching out to people on PL (individuals or experts) to do real live cases. Do at least 10 individual cases between two expert interviews for maximum growth. Take feedback VERY seriously and make sure you keep track of your weak points and you improve across the board with every interview. If you continue to make mistakes (e.g., if your math is always poor) then stop and think about what is causing it (e.g., do you get nervous? do you need more math practice? etc). Fix it outside of interviews and not while interviewing...
5. Practice, practice practice. Do a total of 50+ live interviews before your first real BCG case.
Expert case by