Playing on Insane mode was a mistake. The first time I tried it, I died on turn two. The second time, I fell so far behind I was basically defeated in the first couple dozen turns, even if I was never technically eliminated. Humiliated, I retreated back to normal mode with my tail between my legs.
It was fine. I won the game easily, but strangely, it wasn't as satisfying as winning on beginner mode. I think it's because of the level scaling on the environment. On normal environmental difficulty, monsters have no level adjustment, making low-level monsters less common. This results in more early deaths, fewer experience points, and less treasure. It's not insurmountable, but it means my adventuring party has to stay closer to home and takes more casualties along the way. Since your characters suffer a major injury every time they fall in combat, it becomes tricky to avoid falling into a death spiral.
Also, the injury system can be kind of absurd if you let it go on too long. You can have a single hero with a cracked skull, pneumonia, gangrene, and a broken leg, who's blind in one eye, missing an ear, and suffering from hallucinations. And while it's unlikely to stack quite so many injuries, it is difficult and expensive to heal even a single wound, and thus you almost inevitably have to worry about at least one of your guys becoming almost comically mutilated. It really undercuts the game's whole heroic feel.
Which is why I tend to prefer the easier difficulties. High-level monsters are still nontrivial, even with the three level penalty, but the extra experience points from the weakened chump monsters makes the fights feel more fair (in other words, more likely for me to win).
I think my plan will be to set the environmental difficulty low and the game difficulty high, so that my AI opponents are challenging enough to make me think, but the environment is forgiving enough that I can actually move around in it. Or maybe I'll just dick around, considering there's not enough time for a full game. As long as I get to kill monsters and win treasure, I should be fine.