I'm also interested in financial engineering and applied to the PhD programs at MIT, Princeton, and Columbia. Short list I know, but had some geographical constraints to make grad school work.
I'm a domestic applicant who has been an industry for almost six years now, 2 years at a big NY investment bank in asset management and 4 years at a major hedge fund. Hoping that my experience makes up for some shortcomings academically, where I have an MS in Financial Engineering and good grad/undergrad GPA, but they're both from a mid-tier (top 40) undergrad institution and I have no academic research history save for a few major projects in my programs. I'm curious to see how I'll be viewed by admissions committees.
Good luck to all - we'll find out soon enough!