I can also confirm that setting the API key in auth.json worked for me. I had a bit of an issue since I couldn’t find the schema for auth.json anywhere so I logged in to force it to generate the file. Just for anyone else who finds this discussion later, the file just needs to look like this:
~/.codex/auth.json
{“OPENAI_API_KEY”: “YOUR_API_KEY_HERE”}
Once I restarted VS Code it picked up the API key and the Codex extension progressed past the login screen to the chat prompt.