On Windows, you hold Ctrl+Alt while pressing the up ↑ or down ↓ arrow keys to add cursors.
Mac: ⌥ Opt+⌘ Cmd+↑/↓
Note that third-party software may interfere with these shortcuts, preventing them from working as intended (particularly Intel’s HD Graphics software on Windows; see comments for more details).
If you experience this issue, you can either disable the Intel/other software hotkeys, or modify the VS Code shortcuts (described below).
Press Esc to reset to a single cursor.
Or, as Isidor Nikolic points out, you can hold Alt and left click to place cursors arbitrarily.
You can view and edit keyboard shortcuts via:
File → Preferences → Keyboard Shortcuts
Official VS Code Keyboard shortcut cheat sheets: