How do you do it, as a consultant or as a 9-5 job? Any advice on getting started as someone who graduated 2014?
I don't have any particular advice, beyond the generic stuff: You'll need a network of people who might (know someone who might) want to pay you to help them achieve business outcomes. Remember that you're selling business results, make sure every line on your invoice is part of a narrative that makes (or reduces risk of losing) money for the business.
Of course, in both cases, your work is ultimately directed by revenue, the shield I'm talking about is more against the tight, client/user responsive iterative process of most modern software development which can make it difficult to carve out the time and space to work on something deeper.
Also, I'm not convinced academia is much of a panacea here: I hear there is a nontrivial number of years of pretty severe drudgery before you arrive in the sort of position with a lot of freedom to work on whatever you like.
I personally enjoy the knowledge of having solved a real (business) problem for real people, and being appreciated both financially and personally for this, even when the actual tech going into this isn't very complicated, and especially, doesn't tick off a lot of "hip" boxes.
I have also met good people who do not thrive in these circumstances, so it's hard to give generic advice as to what might make you happy.