Cmd+Option+Shift⬇ / ⬆ works for me on newest VSCode 1.29.1 and newest OSX High Sierra 10.13.6, Macbook Pro.
This adds a vertical line up/down on screen, like Option+Click/Vertical Drag does in Sublime Text.
To add multiple cursors at any points in your file, including multiple ones on the same line, do Cmd (or Option)+Click anywhere you want, shown in this video. You may also search for text (Cmd+F) that repeats multiple times, then press Option+Return to add cursors at end of EACH word.