We can open command prompt in vscode by using the Integrated Terminal feature in View menu.
Integrated Terminal
View
We can even open multiple terminals as shown be
In v1.41 there is a new command which can be used like so:
{ "key": "ctrl+t", "command": "workbench.action.terminal.renameWithArg", "args": { "name": "remote" } }
if you have some frequently used name, like "remote" or "build" that you use often.