...
- File Save Workspace As - name the new workspace
- Click in a blank section below the folder tree then choose Add Folder to Workspace, and chose the folder containing the other org.
It seems to still work with DX, but it could get very confusing.
Now I am not sure yet if this affects working with DX or not., there seems to be NO WAY to compare the folders for all the fields in the Account object for example, across two orgs, within VS Code. You have to use an external folder comparison diff tool. Soooooo annoying. So I ended up using IntelliJ because it was the least worse of the ones I had access to or that were free. Terrible. Surely there is a better way than this?