When interviewing with companies like McKinsey, how formal should we be with dress? Is there a limit on how formal i.e if a pocket square, etc. is appropriate? Or standard suit, tie and briefcase?
When it comes to dress code in consulting, it is important to keep in mind that how you dress will not impress anyone.
It is your intellect that impresses your interviewer, not your clothes.
That being said, if you are dressed inappropriately (way under-dressed or way over-dressed), it is seen as a poor judgment on your part of understanding the social environment you are entering.
In terms of your question, I would be careful about deliberately over-dressing thinking it will give you an advantage.
Over-dressing comes across as trying too hard, which isn't impressive to interviewers and is a turnoff.
The general reaction is one of suspicion -- as if you are compensating for weak analytical skills.
General rule of thumb is to wear what you would wear to a client. Personally, I would never wear a pocket square to a client meeting, and I would say 19 out of 20 of my former McKinsey colleagues would do the same.
So the pocket square is definitely in the minority.
I'd go with a standard suit and tie (and the female equivalent - though without the tie).
As for briefcase, that's okay, but all you really need is a pad of paper -- leather bound paper pad holders are generally a good idea.