Zephyr Workbench, a VSCode extension to manage Zephyr on STM32.
It enables users to easily create, develop, and debug Zephyr applications.
Main features:
Install host dependencies.
Import toolchain and SDK.
Create, configure, build and manage apps.
Debug STM32.
You can directly download it from the VSCode marketplace
For more details, visit the Zephyr Workbench
Actually most of the STM32CubeMx examples already have a project (i.e. .cproject ) and you just import them into the workspace, just be aware that they use links (for the location of the c files) for most of the source code.