I can vouch for this. I never worked for any of the big 4, but worked with them on many occasions, when I was a consultant with a much smaller firm (<50 employees when I started, >200 when I left).
Consulting really is a great way to learn the ins and outs of business while earning a good salary and getting to travel. Combine it with writing lots of code and its a fantastic real-world education for a multitude of endeavors.