Q:

How to select "selected" project components (autogenerate custom package.xml) in VS Code?

When creating a project in Eclipse Force.com IDE, there was a step to tick project components in a checklist. That would generate package.xml accordingly. In fact, you could also later "Edit project components" in the same checklist style window, and it would update package.xml accordingly.
How to select "selected" project components (autogenerate custom package.xml) in VS Code?

A:

For autogenerating package.xml, you can use this VSCode extension: 
https://marketplace.visualstudio.com/items?itemName=VignaeshRamA.sfdx-package-xml-generator
After installing the extension, setting up the project and authorizing an org, run SFDX Package.xml Generator: Choose Metadata Components command.
In Choose Metadata Components for Package.xml page, select the Metadata you need and click on Update Package.xml button.
Package.xml file opens up with the selected metadata components. Just check package.xml and run SFDX: Retrieve Source in Manifest from Org to retrieve specified metadata.

