Here's what I learned doing a PhD. If you have an obsessive interest in something and put in an effort into something you can make "something that I've never seen before" that makes a good demo in a few months.
Larger firms are more stable than small firms, possibly more likely to offer health insurance and other benefits. However there are smaller firms that are better to work with than some others.
The consultant kind of company is a tough biz to be in because of agency problems between you and your tower of bosses and them and their tower of bosses.
Work on interview prep should be as much about social skills as technical. I used to joke that you could pass any data science question with "look it up in the hash table" or "look it up in the literature". I failed to define the word "Regularization" in an interview with a team and I did not fail the interview because I was too busy regularizing things. Showing enthusiasm is good.