Yes, unless you plan to employ the consultant for the rest of their career (they must, after all find other work after your project is over). But you buy equipment, services and materials from the same vendors as your competitors, don’t you? So, why shouldn’t you buy consulting services the same way — particularly if a consultant has developed a broad, general, and technical understanding of your business and industry. This is, after all, how you hire your employees; who, by the way, may ultimately leave you to work for a competitor.
Comfort on this subject starts when you meet the consultant. What does s/he say about his last client? This is an indication of what, and how much, s/he will tell her next client about you. You can measure by his conversation how discrete a particular consultant is. If you are not comfortable with the initial conversation, go no further with that consultant — find one that meets the criteria outlined above!
The most valuable and important asset a professional consultant has is her reputation — it is priceless. Poor, shoddy work, unprofessional conduct, and indiscretions with clients’ confidential data puts the marginal consultant out of business — fast. Preserving his reputation is of utmost importance for a professional consultant; you can judge your own candidates for consulting by their reputation.