Do that with:

rustup component add rust-src

rustc --print sysroot

Then copy and paste that output, append /lib/rustlib/src/rust/src to it, and copy and paste all of that into user settings for “rust.rustLangSrcPath”, e.g. "rust.rustLangSrcPath": "/home/james/.rustup/toolchains/stable-x86_64-unknown-linux-gnu//lib/rustlib/src/rust/src",