I was searching for the most simple way to connect from visual studio code to my local instance via terminal without having to change any window.
I know this can also be achieved via telnet but seems a bit overhead if you're in your local machine.
For me the simplest sollution is to open a terminal window in VS Code, navigate to the /bin folder of your instance installation and run .\csession.exe INSTANCENAME
For simplicity you can just include your /bin folder in your path so you don't even need to navigate there
In fact if you've added some remote instances as remote conexions on your instance, you can also access them.