Here is the answer:
Ctrl+Shift+P ==> Open Launch.json ==> Save ==> Voila!
(It works. I am now able to step through and debug a simple application with one main.go file in Visual Studio Code)
Note that I have installed all of the dev tools (as per @owlwalks above), as well as dlv (see here: https://github.com/Microsoft/vscode-go/wiki/Debugging-Go-code-using-VS-Code)