My preferred way to use it is through the locally installed VS Code. I just open the IDE and in a few clicks I'm connected to my existing environment or create a new one for a new project.
A few reasons why you may want to do that instead of using your local machine:
1. It is powered by super-fast Azure VMs, so even huge projects and a dozen of extensions works blazing fast
2. The point above also means that you can run it without hearing the noise of your fan blowing off the heat and seeing the battery discharging at alarming rates. I love it for the full-day development on the go!
3. It is powered by a full Linux VM, so you can run anything you want there without spending time setting up the env locally.
The pricing though! $50/month for full-time development is not that big of a deal for professional developers, but may be quite pricey for hobbyist. Beware that unused suspended environments still cost you money!