You do not need to manufacture business experience, but you do need evidence that your interest in consulting is informed and credible.

Firms want to see that you understand the work and can transfer your PhD skills into client-facing problem solving.

Business clubs, pro bono projects, commercial collaborations, case practice and thoughtful networking can all provide that evidence.

Focus on two or three concrete signals of interest rather than collecting random credentials that do not change your candidacy. For more detail, see the PhD to consulting without business experience guide.

For what it's worth, The biggest improvement to my PhD resume was deleting technical detail that only another researcher would understand.