My trajectory was sublime -> vscode -> cursor. I tried Zed, but didn't need any of the collaboration features, didn't notice any speed increases vs normal vscode usage, and was generally just less productive than vscode with all the extensions I had configured. Cursor imported all of those, and my keyboard shortcut muscle memory still worked right after install. For me at least, moving over to it was completely seamless.
Like you, I started using LLMs in a chat window copy pasting code back and forth, (but I think Claude 3.5 sonnet was the first model I felt it worth the hassle). The cursor workflow is basically indexing all your files in your codebase to figure out what to copy over into the LLM, and then scraping the LLM output to figure out where to paste it in your code. It works like 95% of the time, which is way more than I was expecting, and falls back to the manual copy paste workflow pretty easily. Also it comes at a time where models are good enough to be handed gobs of context and trusted with more than a handful of lines at a time (Claude Sonnet 3.5 really shines here).
The whole experience just feels very polished and well thought out. One great (not really well documented?) feature is a .cursorrules file that gets invisibly pasted into all the context windows where you can say things like "use double quotes in javascript" or "prefer functional paradigms and always include type annotations in python" to avoid having to make those edits for consistency and style if the LLM fails to pick them up from the surrounding code. You can commit this file and have teammates get the same part of the prompt. Now everyone's autocomplete consistency and style is improved.
It's difficult to state how nice having it automatically do this copy paste back and forth just a keyboard shortcut away feels, it really is much better than I expected. So yes, I would try Cursor.