Visual Studio Code - Convert spaces to tabs

There are 3 options in .vscode/settings.json:

// The number of spaces a tab is equal to.
"editor.tabSize": 4,

// Insert spaces when pressing Tab.
"editor.insertSpaces": true,

// When opening a file, `editor.tabSize` and `editor.insertSpaces` will be detected based on the file contents.
"editor.detectIndentation": true

editor.detectIndentation detects it from your file, you have to disable it. If it didn't help, check that you have no settings with higher priority. For example when you save it to User settings it could be overwritten by Workspace settings which are in your project folder.

Update:

To access these settings, you can open File » Preferences » Settings, click the Manage cog icon at the bottom left, or use the keyboard shortcut:

CTRL+, (Windows, Linux)

⌘+, (Mac)

Update:

Now you have an alternative to editing those options manually.
Click on selector Spaces:4 at the bottom-right of the editor:

EDIT:
To convert existing indentation from spaces to tabs hit Ctrl+Shift+P and type:

>Convert indentation to Tabs

This will change the indentation for your document based on the defined settings to Tabs.

Ctrl+Shift+P, then "Convert Indentation to Tabs"

To change tab settings, click the text area right to the Ln/Col text in the status bar on the bottom right of vscode window.

The name can be Tab Size or Spaces.

A menu will pop up with all available actions and settings.