If you're working on something that needs to target the full framework, then yes, Mono is the way to go. Otherwise if you're targeting the new .NET Core, then you can do without Mono with the latest pre-release versions of the VS Code C# extension (which includes debugging support).
Here's a blog post with bit more info on setting up VS Code with the pre-release version of the C# extension (and debugging support): http://www.tattoocoder.com/setting-up-asp-net-core-debugging...