For some reason Alt + Shift + F didn't work for me on Mac Visual Studio Code 1.3.1, and actually the command "Format Document" don't worked at all. But command Formatter worked very well.
So you can use Command + Shift + P and type Formatter or make your own shortcut in menu File → Preferences → Keyboard Shortcuts → Command + K Command + S then type Formatter and add your shortcut.
See an example:
