I'll say I had a miserable time trying so setup oneAPI for VS Code on Windows. Their website made it seem like it was possible, there are even plugins, but I never got it working. Eventually I just gave up and downloaded Visual Studio.
Getting oneAPI to work on Arch Linux, where it's not even officially supported, was also tricky but considerably easier.
Haven't been able to successfully get PyTorch or TensorFlow code to utilize the GPU but did get some DPC++ working with oneAPI. All-in-all it's not a terrible experience but could be a lot better.