Update for 2020
If you are using the search feature to search across files (Ctrl + Shift + F
) it can be easy to miss how to convert your search to a search and replace within the UI.
Here's a typical search result:
To convert this to a search and replace you need to click the arrow icon to the left of the search input field. This will open the replace options as seen below. Note the arrow icon is now pointed down.
The keyboard shortcut Ctrl + Shift + H
will also work as well to access the search and replace.
Link to VSCode docs on search and replace: https://code.visualstudio.com/docs/editor/codebasics#_search-and-replace