I walked out on a job with an IT consultancy once, many years ago. I suffered a campaign of harassment and I'd been talking to my old company about going back. However nothing was signed so it was a risk, particularly with a new baby and 3-year-old to support. Fortunately things worked out but it was scary for a month or so.
I left that company about 7 years later when the IT Director did something disrespectful. What I didn't know was that she was under threat as she'd fucked up a major contract by committing the company to pay cash for hardware rather than doing it on finance. Had I made a formal complaint I'd have probably won, but in hindsight it was the right time to leave.
So I'd go down the formal grievance route first, because he may not have the confidence of his superiors. I had to laugh as when you mentioned you were in consulting, I had a feeling it might have been an old boss of mine, but he's now retired. He could be a nightmare, particularly if he'd had a drink. Eventually he got chucked out of a top four consultancy after embarrassing himself and others in front of the whole division.
You don't know if he's being a dick because he feels under pressure and is losing it, and a complaint might be the final straw for his dismissal. If that isn't satisfactory then walk and look at a constructive dismissal claim, but that can be hard to demonstrate. Definitely keep a record of what you consider to be his unreasonable behaviour.
If you're in IT consultancy, the market isn't brilliant currently as all the big companies are making cuts, but things may look different by Easter next year. If you can negotiate a Termination agreement then you might get your payoff tax free, which would help. But go to HR first.