Tried the following in VSCode with ObjectScript extension version 3.0.1:

1. File / New File...
2. Chose Business Process Intersystems Objectscript
3. Entered class name eg. Test.Process.TestClass

VSCode opened a dialog to save the class file (TestClass.cls) in some previous directory.

In version 2.12.10 VSCode creates the following directories under the workspace folder: src\Test\Process\TestClass. Also the class file (TestClass.cls) was created automatically. No save dialog was opened.