Sometimes I like to self-insert, but usually as a secondary character or play through, depending on the game. In such a case, I base that character on "What would I be like in this fantasy world," rather than "What I am now, put into this fantasy world."
Mostly, I like to play as my own character first, named Astria Undine. She's an evil sorcerer, so this would only be possible in fantasy games. If I can't create this character, then I'll usually just self-insert in some way or another.
If I were to self-insert in TiTS? I don't think I would really mod myself aside from some very minor changes. I'd likely just stay human. I'm fairly at peace with myself, and was never one for "What if?" or changing something about my past decisions.
And yes, it would be very likely for me to get bad-ended by someone like Kaska.