When you said that you are just starting at McGill, I am assuming that you are a freshman college student now? To be honest, it is a bit early to think about this, since your plan may change dramatically once you start school. Maybe after one year, your will be interested in becoming a software engineer in a startup in Silicon Valley.
Coming back to your question, it would be difficult if you have no former experience living in NYC or have other ties with the city. Think about the competition you will face - local NYC students graduating from schools like Columbia and NYU, students from nearby schools like UPenn/Wharton and students across the States who, like you, consider doing consulting in NYC as their dream. The question is what uniquely can you bring to the table to make those firms want you, in NYC?
If you really want to go, you should spend your four years doing following things (whichever is applicable):
- Live in New York or at least visit there. See if you can get into some exchange program and study there for a bit.
- Get to know people in the consulting industry, who ideally are based in New York. It will be very helpful if you can get a referral from them when it's time for you to apply.
- Just do well in school. Get a good GPA. Participate in clubs, take on some leadership positions, etc.
There are also two options that you should consider. It will be a bit of a detour, but will more likely get you there.
- Get into consulting in Canada (say, Toront), and then do an office transfer
- Get a job in NYC first, and then switch to consulting