Upgrading base environment Python to a version that hasn't finished migrating1 is a recipe for trouble. Generally, one does not need to upgrade base environment's Python unless the Python version goes EOL.
If you would like to explore the new Python 3.12, then create a new environment:
mamba create -n py312 -c conda-forge python=3.12
[1]: Migration is the process on Conda Forge by which packages get rebuilt to support new global versions, such as Python 3.12 or R 4.3. Conda Forge provides a dashboard to track the status of migrations, such as Python 3.12.
Answer from merv on Stack OverflowLaunch-day availability of Python 3.12 in conda-forge - Announcements - Discussions on Python.org
Python 3.12 Support - Software Releases - Anaconda Forum
How to install python with conda? - Stack Overflow
Python 3.12
Videos
To create python 3.11 conda environment use the following command
conda create -n py311 python=3.11
py311 - environment name
Update 3
To create python 3.10 conda environment use the following command
conda create -n py310 python=3.10
py310 - environment name
Update 2
You can now directly create python 3.9 environment using the following command
conda create -n py39 python=3.9
py39 - environment name
Update 1
Python 3.9 is now available in conda-forge.
To download the tar file - https://anaconda.org/conda-forge/python/3.9.0/download/linux-64/python-3.9.0-h852b56e_0_cpython.tar.bz2
Anaconda Page - https://anaconda.org/conda-forge/python
As pointed out in the comments, python 3.9 is not yet there on any channels. So, it cannot be install yet via conda.
Instead, you can download the python 3.9 executable and install it.
Once the installation is done, a new executable will be created for python 3.9 and pip 3.9 will be created.
Python:
python3.7
python3.7-config
python3.7m
python3.7m-config
python3.9
python3.9-config
pip
pip
pip3
pip3.7
pip3.8
pip3.9
pipreqs
In order to install ipython for python 3.9,
pip3.9 install ipython
On 6-Oct-2020, Python 3.9 was made available on conda-forge: https://anaconda.org/conda-forge/python. However, most of the other packages (including some of the essentials to create a basic environment) didn't explicitly support Python 3.9 yet.
However (as of 15-Oct-2020), the basic dependencies appear to have been fixed and the following command now works:
conda create -c conda-forge python=3.9 -n py39-demo
I have a 32bit machine, doing the command conda search python only shows that the latest version that I can install is v3.10.0 I want specifically v3.12.3 32bit but It is not found,
I can download that version from the python website but how do I tell anaconda to use that version?
This problem is related to conda, but it's not a vscode problem. You can create a conda environment with the following command,
conda create --name myenv -c conda-forge python=3.11
Then select the created conda interpreter in the Select Interpreter panel.

More information on conda commands.
The 17th of April 2023, the support for python 3.11 was added to conda (see issue in the official repo)
You should now be able to download conda directly using:
conda create -n my_conda_env_with_py311 python=3.11
Vs code should soon (if not already) allow you to pick python 3.11 in their GUI for you conda env !