Unfortunately consulting is very traditional when it cimes to interview dress code. I've seen seversl types of outfits from female candidates that convey the appropriate level of professionalism:
-formal dress and jacket (as you mentioned)
-knee length dark color skirt, solid color blouse and jacket
-dark color pants, solid color blouse and jacket
A note on the following:
-blouse: solid color is best, but patterns/floral motives work too as long as they are not too distracting. The important thing is also to make sure that blouse is not see-through (happens sometimes with silk/synthetic fabrics) or if it is that you have a full tank top underneat. Also no cleavage showing.
-shoes: flats or low heel pumps
-jewelry: limit to bare essentials and also not too flashy. Might suggest to remove facial piercings if they do not show evident holes
-skirt: ideal length is between a palm above the knee and knee length. No shorter, no much longer
-perfume: no unless very mild
-make up: ok but keep it light, especially eye shadow and blush
-Pantyhose: ok both with or without. No patterns
hope it helps,
andrea