Add $query$ to SQL prompt that allows you to define a query which get executed and the results pasted in place, optionally formatted as VALUES statement

I currently have a snippet that runs
SELECT '(' + CAST(r.RegionId AS VARCHAR(50)) + ',''' + r.RegionDescription + ''',0),'
FROM retail.Regions r
WHERE r.ActiveTo > GETDATE()
ORDER BY r.RegionDescription

I then copy the output and use the $paste$ place holder in another snippet to paste in

DECLARE @regions TABLE (RegionId INT, RegionDescription VARCHAR(50), Active bit)
INSERT @regions (RegionId, RegionDescription, Active)
VALUES
--$PASTE$ goes here
(117,'Anglia',0),
(119,'Greater Manchester',0),
(145,'Hampshire',0),

An improvement would be remove the last comma. A bit like copy from the results pane as an IN clause feature.