Immersive virtual reality (VR) exergames blend playful environments with physical activities. In such games, providing continuous cues, i.e., real-time indications of how the movements are being performed, can guide players and improve the execution of movements. However, research about how continuous cues impact player performance and experience in VR exergames remains sparse. To this end, we conducted a within-participants study (N=32) with four conditions: (i) no, (ii) audio, (iii) visual, and (iv) audiovisual cueing. The results show that both unimodal and bimodal cueing improve the player experience without causing cybersickness, while bimodal cueing improves pose accuracy. We provide three main design implications for VR exergames: (i) considering the granularity of cues, (ii) exploring different continuous cue designs, and (iii) underlining the use of continuous cues in other immersive experiences.