As of Visual Studio Code version 0.10.9, you can now do a Create Multiple Cursors from Selected Lines by selecting multiple lines, and pressing Shift+Alt+I
Note: This is similar to Sublime Text's Ctrl+Shift+L functionality.
Source: https://code.visualstudio.com/updates/vJanuary#_thank-you
Relevant PR: https://github.com/Microsoft/vscode/pull/1479
