I've worked with a lot of PhD's that did not go to academia (and even interviewed a few for jobs). If you are angling for an industry position, or just want to prepare for it as a plan B, I think there are two main tips:
1) Cultivate quantitative research skills (modeling; statistics; computer learning; using R, Python, SPSS, or Stata). Your hard skills matter much more than your pedigree in Industry jobs. Industry will take the person who can build them a model from Middle of Nowhere University over a Yale graduate who can't.
2) Cultivate your teamwork skills and be able to talk about them in a compelling way. Academics (and by extension PhD students) can sometimes get a bad reputation in industry circles for being overly focused on their own goals and interests and being difficult to work with.