Almost not used at MBB at sometimes used at Roland Berger, Oliver Wyman.
There is no dedicated part of the interview for brainteasers and to be honest, they are quite rare. Although the interviewer might want to ask you a brainteaser question either before or after the case. To prepare you simply read the 2-3 most popular books with the brainteasers (Are you smart enough to work at Google?, How would you move Mount Fuji?).