Yeah, you mostly forgot step 1 for playing shalore on any difficulty (but especially the higher ones): Go up the stairs

Though trying to kill a bear right off the bat was a bit silly, too. Those buggers are tanky enough on lower difficulties, without the insane boosts. Leaving, go off to trollmire (or maybe heart of the gloom -- it's pretty likely to have squishy rats to oneshot) or something would have been your better bet. Avoiding tougher critters and rares for a few levels is good, too. You definitely have to play differently on the upper difficulties, from what I understand.
Though don't forget the best insane/madness starting strategy: Go around checking the towns and drowning any rares/uniques that generated. Absolute best bet at level 1 in higher difficulties for XP and some jumpstart loot, that.