I wrote two articles on this topic:

How Do I Find a Job in Finance? http://alephblog.com/2011/09/27/how-do-i-find-a-job-in-finance/

How Do I Find a Job in Finance? (Part 2) http://alephblog.com/2011/09/29/how-do-i-find-a-job-in-finance-part-2/

And more -- I get lots of requests for advice in this area from students, and those looking to change fields