How to use MSI for development in visual studio?

I need to get access to my Key Vault during development and debugging. Is it possible via using managed service identity? I see that my code can get this credentials when the app is deployed on VM, but what if I need them during development on my local workstation?

How do I create an MSI file in Visual Studio?

Go to Extensions > Manage Extensions > Online > Search, find, download and install Microsoft Visual Studio Installer Projects extension. 2). Add a new Setup Project in your solution > right-click Application Folder > Add > Project Output… > choose the corresponding Project > select Primary output > OK.

As of Visual Studio 2017 15.8.something, the extension which juunas mentioned is built into Visual Studio.

Tools -> Options -> Azure Service Authentication -> Account Selection