I've been using VSCode to develop wxWidgets applications for a couple of years now and it works fine. You can both compile and debug from within the editor. I'm on Windows, so I use Microsoft's C++ extension that provides tooltips to give you hints about what the parameters for wxWidgets constructors, functions, etc. are. There are mostly equivalent extensions for other platforms.
It's definitely easier to use one of the stand-alone designers, all of which will generate code that you can then compile within VSCode. Current C++ stand-alone designers are
wxCrafter, wxFormBuilder, wxGlade, and wxUiEditor(currently in beta). If you are programming in python, then you are limited to wxFormBuilder and wxGlade. wxFormBuilder also supports Lua and PHP. I would argue that wxUiEditor is the easiest to use -- but I'm heavily biased since I wrote it... 😁