How to open Visual Studio Code from the command line on OSX?

The docs mention an executable called code, but I'm not sure where I can find that so I can put it on my path. The zip I downloaded from the VSCode site did not include any such executable. (I am able to run the .app just fine.)

Is this a Windows-only thing?

From the Visual Studio Code Setup page:

Tip: If you want to run VS Code from the terminal by simply typing 'code', VS Code has a command, Shell Command: Install 'code' command in PATH, to add 'code' to your $PATH variable list.

After installation, launch VS Code. Now open the Command Palette (F1 or ⇧+⌘+P on Mac) and type shell command to find the Shell Command: Install 'code' command in PATH command.

After executing the command, restart the terminal for the new $PATH value to take effect. You'll be able to simply type 'code .' in any folder to start editing files in that folder.