As of vscode v1.75 there is a Transform to Camel Case command. So you could
- Find:
(_[a-z]+)+ Alt+Enterwill select all those- trigger the
Transform to Camel Casecommand
Pretty easy.
In the 1.47 Insiders Build support for the replace case modifiers (\L, \l, \U, \u) has been added to vscode. And so should be in the 1.47 stable release).
So simply doing your find: _([a-z])
and replace with \u$1 (since you only want to capitalize the first letter) works nicely in the Insiders Build now.

Works in both the Find Widget and the Search Panel.