就在这个SO下面有另一个回答，前段时间正好简单翻译了下。
看这里

{
    "version": "0.1.0",

    // The command is tsc. Assumes that tsc has been installed using npm install -g typescript
    "command": "C:\Python35\python",

    // The command is a shell script
    "isShellCommand": true,

    // Show the output window only if unrecognized errors occur.
    "showOutput": "always",

    // args is the HelloWorld program to compile.
    "args": ["${file}"],

    // use the standard tsc problem matcher to find compile problems
    // in the output.
    //"problemMatcher": "$tsc"
}

将配置做以上修改即可。