Each of the paths you've mentioned are possible modes of joining an MBB firm. The important thing is to choose the path that best suits you. Perhaps the most common path for joining MBB firms would be to get a few years experience and then study an MBA at a school from which these firms recurits. However you may wish to apply directly pre-mba.
Think about the career in which you think you can be most succesful and happy and show that you're a high performer at what you do. This will be important when it comes times to make the transition.