Insane difficulty may prove to be a real challenge if you start on this difficulty on your first playthrough, so I recommend you start on easy/normal on your first playthrough because after you complete the game on any difficulty you unlock new game +. New game + allows you to buy cheats, carry over all your upgrades and weapons from your first playthrough, and unlock a powerful/funny weapon.
I recommend you buy the napalm laser weapon cheat as it is amazingly good. If you have that and the instant nano forge cooldown cheat this playthrough will be a breeze. I recommend that you use your shell ability every time you are low on health or when you are forced to kill all of the enemies before being able to proceed further. To make this playthrough faster, simply run past all enemies you don't have to kill and then use your shell when you are low on health rinse and repeat.
Difficulty achievements do stack, so if you haven't gotten That Coulda Gone Better when you get this, it'll unlock as well.