Ok.  I goto settings and switch it to hardcore.  Then i'll either create a new character or start a new game with an existing character.  I NEVER change the difficulty.
 
I've beaten the game 3 times now doing this and it still won't give me the damn achievement.  Am I missing something?  Do you have to turn off aim-assist?  Do you have to turn off squad power usage?  Does changing ANYTHING in the options menu throw the game off?  I don't know what i'm doing wrong.

If you do a new gme plus, it starts out with the original difficulty, and you have to set the difficulty to hardcore ASAP. It can be hinky, and I'm going to be super pissed if my insanity playthrough doesn't log.

Once you create a new game you can switch the difficulty as many times as you like on the Normany, but once you step foot on Eden Prime changing it will ruin your achievement.

Playing a different character on a lower difficulty somehow changed the difficulty on my insanity playthrough as well, somehow.  So no achievable for me :-(

Yeah you need to set it after you start, you and contrary to Vorbis, you CAN change it on Eden prime just not after.