To add to the points already here, some things to keep in mind
1. Be genuine : I cannot tell you the number of times I hear things like I take on too much work or I like being perfect in my outcome. These dodge the real question which is what do you need to work on to improve. No one is perfect so giving the impression that you are is not helpful. Some examples I did like include - I can be reserved/shy especially in group settings and the way I am approaching that is to do xx and yy. That shows both self awareness and genuine desire to improve on your weaknesses. You need to spend actual time thinking through your weaknesses and finding those that are genuine. Make sure you run the answer a few times past a friend or someone in the industry to get their feedback.
2. Think about how best to phrase it - don't just state a weakness, give the context as to how you learned about it (maybe at a review, maybe someone told you that), the impact it had on you and how you are addressing it
3. To re-iterate do not pick ones that are crucial to consulting such as - not enjoying working in a team environment, not good at analysis etc.
All the best,