It is not yet available, but I found an issue report for that feature.
It’s currently in the backlog, so we can expect it soon.
https://github.com/Microsoft/vscode/issues/5953
Edit:
In the meantime:
- https://marketplace.visualstudio.com/items?itemName=nobuhito.printcode
- https://marketplace.visualstudio.com/items?itemName=pdconsec.vscode-print