VSCode and SFDX CLI are two tools that can be used to run a script that deploys to a sandbox. VSCode is a code editor that supports Salesforce development with the Salesforce Extension Pack1. SFDX CLI is a command-line interface that allows you to perform various tasks related to Salesforce development, such as creating projects, pushing and pulling source code, running tests, and deploying to orgs2. Both tools can be integrated with a version control system and a CI/CD pipeline to automate the deployment process to a sandbox3. Change Sets and Developer Console are not tools that can run a script that deploys to a sandbox.
Change Sets are a declarative way of deploying metadata changes from one org to another. Developer Console is an integrated development environment that allows you to edit, debug, and test Apex code and Visualforce pages. Neither of them can execute a custom script that deploys to a sandbox. References: 1: Visual Studio Code - Salesforce Developers (1) 2: Salesforce CLI - Salesforce Developers (2) 3: How to Work with Developer Sandboxes and the Salesforce CLI (1 of 2) | Salesforce Developers Blog (3) : Change Sets - Salesforce Help (4) : Developer Console - Salesforce Help (5)