How to create custom commands in VSCode?

A few marketplace extensions may be of interest:

• Script Commands by Marcel J. Kloubert
• multi-command by ryuta46

However in general, you'll need to write an extension to do anything complex.

There's also a VS Code issue tracking support for built-in macros

There's Power Tools by e.GO:digital. It has support for custom commands and event triggers (ie. on file changed), among other things.