You can install this extension from the Marketplace.
What about .mdx and .md files?
By default the RDX language is applied only to .rdx files. If RDX files in your project end with .rdx or .md, you can tell VS Code that by adding the following to your workspace settings:
"files.associations": {
"*.md": "rdx"
},
Auto-close tags
If you want VS Code to automatically close tags while you type, you can install Auto Close Tag and configure it to also include the language rdx: