In vim I can search for a visually selected string using a number of techniques including what can be found here:
http://vim.wikia.com/wiki/Search_for_visually_selected_text
Is there a way to do the same thing in VSCode with the Vim extension?
Right now, VsCodeVim doesn't support the command in search mode, so that keybinding isn't possible.
If you want to see that in the future, opening an issue at https://github.com/VSCodeVim/Vim/issues would help.
EDIT: https://github.com/bronson/vim-visual-star-search is implemented, so this functionality is now there.