I have no idea in VSCode, but with JetBrains Gogland, debugging tests is stupidly easy. Simply add the breakpoint where you want it, left click on the play button in the line of the test declaration, click debug in the contextual menu, and off you go.
In Go test files, there's now a codelens annotation above every Test function with "run test" and "debug test" commands. Just click "debug test" to launch a debugger against that test.