Dear Alasdair McAndrew,

I am using vscode in iMac, so my setting may not work for you.



1. First, find files for vscode in your TeX folder.

In my case, 

/ConTeXt-homefolder/tex/texmf-context/context/data/vacode/extensions/context/*.*

2. In a homefolder, there is a hidden folder “.vacode”.

Copy context/*.* to  ./vscode/extensions/context/*.*

3. Open vscode and enable context-extension.

Since it was long time ago, my memory may not be correct.
However, I hope that it may give you an idea.

Best wishes,

Dalyoung