I had this same struggle when I started, too (I use Typora instead of vscode, but image preview/markdown syntax is the same).
Things are working for me now with the render-image and render-link markdown hooks that came with v. 0.62. I put the render-image.html and render-link.html files in my layouts>_default>_markup folder and reference the files using relative paths as normal.
This demonstration was helpful.
Another workaround is to specify the typora-root-url in frontmatter (discussed here), but I prefer the render hooks.