How to create and init ".vscode" in VSCode?

Normally there should be no need to initialize anything, VSCode handles this folder by itself. As soon you do something that needs to go into this folder, for example using "Preferences->Workspace Settings" or by using one of the debugger presets, it gets populated with the files.

And if you really want to add anything by creating the files by yourself and without using the GUI or the command the palette, you just create the folder and whatever file you need. There is no additional "magic" involved, just a folder with a name.

Try to open settings.json for your workspace/directory

open command pallete Ctrl+Shift+p