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I saw that you can use wpEngine and Local Flywheel together, is it worth using? What are the main benefits of it?
At the moment I just connect to a site via SFTP and directly make changes in Visual Studio Code.

If you aren’t already using “Local”, I’d highly recommend it, even if you aren’t using WPEngine.
The WPEngine integration gives a single click push to your live environment, as described here: https://localwp.com/connect/