If you are still at your university, there are probably others trying to launch startups. I would sniff around and reach out to them. However, you still should

If you are still at your university, there are probably others trying to launch startups. I would sniff around and reach out to them. However, you still should work in the industry for some time first. You need to build up experience working on real projects. In consulting, no one will care much if you have a PhD, what they will care is if you have experience doing what they need. While you work in the industry, you will also build up a network. Starting a consulting company is one of the easiest things to do, but maintaining one is one of the hardest.