sudo exists for a reason - use it.
When your command (in this case an interactive CLI) is finished, you're dumped back to your user-level shell, not a root shell. There are very few worthy reasons to be in a root shell. (I'm surprised that this isn't already an answer...)
Having said that, don't be a muppet that uses
sudo for everything. Understand what you're doing, and understand why it does/doesn't require root privileges.
Additionally you can differentiate your prompt for root / user shells.
This also makes it more obvious that you're back at the shell prompt and not "some other CLI". Mine is very colorful, and has lots of useful information (such as the hostname), which makes it very simple to know what host the command will execute on, and also makes it easier to look back through your history and locate prompts - a root shell uses the default prompt.
This is more suitable to use on "your" account, but if you're taking security/sysadminning seriously, then you won't be sharing passwords/accounts, and you won't be sitting in a root shell without being fully aware.
As people have said over, and over, and over again "aliasing commands to make a safe environment is a bad idea". You're going to get comfortable in your safe environment, typing those 'scary' commands where you shouldn't. Then one day you'll change jobs, or login to a new machine, and then boom "whoopsy, I didn't mean to, I'm sorry"...