Phase 1: Written exam. They do have a practice exam online, but if you want more, I recommend studying GRE math (to help with speed), and LSAT logical reasoning.
Phase 2: 2 rounds of PEI + cases. Prepare unique stories that really make you stand out. They interview a lot of smart people, so you need something special. Practice lots of cases, show structure, accurate math, and synthesis.
Phase 3: 4 rounds of PEI + cases back to back, this really tests your endurance. No surprises, no stress tests, just 4 normal "McKinsey" style cases. You really have to shine on all 4 exams, nail the math, and be creative. The PEI is also important, show your uniqueness. I did not pass this round because I did not nail all of the cases, and my math was a bit slow (I wanted to make sure I was doing it right). If you get to this stage, I recommend doing 4 cases in a row back to back.