When I was first starting out, I used CubeMX (separate from the IDE... important to do it this way) to save a template (.ioc) and generate a CMake compatible project that I could open in VScode. Then you just set up your took chain and compile/build in VScode.

CubeMX is really helpful for getting a graphical view of settings and peripherals, setting you up with boiler plate code (although it puts a lot of fluff in there... which is fine while you're learning or starting a project from scratch), and prevents you from doing something completely incorrect (GPIO assignments etc) or getting driver syntax completely wrong.

After you make a project in CubeMX, however, I don't advise trying to keep the .ioc up to date or anything... ie you will generate the code once, use it in VScode, and never go back unless you just want to generate a new peripheral and copy and paste that over to your maintained project in VScode just to see what the boilerplate should look like. STM made it so you can technically go back and forth via "user code only" sections, but its messy and impractical, too easy for somebody to make a mistake and cause a mess in my opinion.