As of r37523 (which is currently "live" on Steam/GoG) you should be able to get setup as follows:
Install VS Code.
From your VS Code extensions tab, install the devCAT Lua Debugger.
From your VS Code extensions tab, Install sven2718's openhintvc extension.

Go to File->Open Folder and open your "Lua state" dir.
In the VS Code debug pane, select launch-sis, and hit the green arrow.

Now, if everything is working, the game should start in debug mode, and you should have access to both CTRL+click hotkeys and the ability to set breakpoints / view stack traces.