I would like to know how to change, if possible, the cursor in Vim (in color, shape, etc.) depending on what mode you are in.
I am constantly forgetting that I am not
A popular approach to indicate switching to and from Insert mode is
toggling the cursorline option, which is responsible for whether
the current screen line is highlighted (see :help cursorline):
:autocmd InsertEnter,InsertLeave * set cul!
or, alternatively:
:autocmd InsertEnter * set cul
:autocmd InsertLeave * set nocul
Modify the CursorLine highlighting group to change the styling
of the cursor line to your liking (see :help :highlight and
:help highlight-groups).