I agree with the Engineering degree followed by an MBA down the road. If your legitimately interested in financial engineering then your going to need a masters degree (in financial engineering) instead of two bachelors.
I graduated from a fairly no name state school with >3.5 GPA with an Econ/Fin degree. I wasn't even graduated yet before I had a full time position with the army corps of engineers as an economist. My only regret was similar to the above, as I wish I would have taken more programming courses. I work with SQL/SAP databases on a regular basis and a familiarity in programming would have gone a long way.