The simplest way I do it:

setopt vi
KEYTIMEOUT=1
# change cursor shape in vi mode
zle-keymap-select () {
    if [[ $KEYMAP == vicmd ]]; then
        # the command mode for vi
        echo -ne "\e[2 q"
    else
        # the insert mode for vi
        echo -ne "\e[5 q"
    fi
}
precmd_functions+=(zle-keymap-select)
zle -N zle-keymap-select

The simplest way to set cursor style:

setopt vi
KEYTIMEOUT=1
# change cursor shape in vi mode
zle-keymap-select () {
    if [[ $KEYMAP == vicmd ]]; then
        # the command mode for vi
        echo -ne "\e[2 q"
    else
        # the insert mode for vi
        echo -ne "\e[5 q"
    fi
}
precmd_functions+=(zle-keymap-select)
zle -N zle-keymap-select