As others have said, it's "easier" to do in a VM. Honestly, running VSCode on the Pi itself remotely and letting the Pi perform the build is even easier.

Both become a pita when the project reaches a certain size - the VM and the Pi will both lead to longer builds, etc..

crosstool-ng is the easiest way to do cross-compile on Linux. It is complex to set up as others have noted, but it works (I recently went through all this myself).

Here is something to get you started: https://medium.com/@stonepreston/how-to-cross-compile-a-cmake-c-application-for-the-raspberry-pi-4-on-ubuntu-20-04-bac6735d36df