I thought I'd share some simple steps you can follow if you wan't to build, run and debug an F# program on OSX using dotnet core 2.0. I guess these steps would also work if you're running Linux, with some minor modifications.
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Install dotnet sdk for OSX: https://www.microsoft.com/net/learn/get-started/macos
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Install Visual Studio Code for OSX: https://code.visualstudio.com/
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Install C# (yes, C#) extension for OSX: https://code.visualstudio.com/docs/languages/csharp
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Create a new console application project using dotnet cli:
dotnet new console -lang F# -n HelloWorld