Menu > File > Preferences > Task: Save Before Run
In theory this should be all we need, but when set to ‘always’ it doesn’t work for running Python code. Hopefully this will get fixed sometime…
Instead we have to do this for now:
Files: Auto Save = onFocusChange
Files: Auto Save Workplace Files Only = On
Feel free to comment if you can add help to this page or point out issues and solutions you have found. I do not provide support on this site, if you need help with a problem head over to stack overflow.