I work for a similar firm to Deloitte. Deloitte use Windows XP Pro's inbuilt EFS encryption. I'm sure people far cleverer than I will be able to comment on how secure that is or isn't.
All locally saved emails, and all working papers are stored on the hard drive in encrypted folders.
Regards why there is a need for anything to be saved locally, greenmantle has hit the nail on the head. Unless clients can guarantee decent wired (and wireless - auditors spend as much time with their laptops chatting to client staff as they do sat in an office) connections it is entirely impractical. And however good 3G dongles are, their coverage and uptime are somewhere short of being 100% in some of the shit holes they'll have to work.
Laptops get nicked... if the data is encrypted is it even news worthy??