CMake Extensionでビルドできるようにして、.vscode/tasks.jsonを

{
    // See https://go.microsoft.com/fwlink/?LinkId=733558
    // for the documentation about the tasks.json format
    "version": "2.0.0",
    "tasks": [
        {
            "label": "CMake Build",
            "type": "cmake",
            "command": "build",
            "group": {
                "kind": "build",
                "isDefault": true
            },
            "problemMatcher": []
        }
    ]
}

こう設定すればCtrl(Command)+Shift+BからCMake Extensionのビルドを実行できる