If you do not want to store your credentials in the settings file, the script can be used to proxy a proxy call. Moreover, I believe that the above only works for proxies that use basic authentication, the following should work for NTLM.
VSCode Open the settings file:
% APPDATA% \ Code \ User \ settings.json
add the following:
{ "http.proxy": "http://127.0.0.1:8888", "http.proxyStrictSSL": false }
Fiddler Confirm script settings:

Fiddler Verify that Fiddler is installed for automatic authentication:

VSCode Extensions Must Be Online:

Update
This is no longer required after implementing PR # 22369 , which was implemented in version 1.15 Proxy Authentication .
In my case, I still needed to add:
"http.proxyStrictSSL": false
David Martin
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