Insert --sql, --beginsql, or --begin-sql at the beginning of the part of the string you would like highlighted and a semicolon, --endsql, or --end-sql at the end of the highlighted section.
Keybindings
cmd+s (or ctrl+s on mac) - Insert the following snippet:
"""
--sql
SELECT
;
"""
Requirements
Visual Studio Code v1.32.0 recommended
Comments at beginning and end of highlighted section in the string (see Usage section).