Half-Life: Alyx Workshop Tools/Source Filmmaker
With the release of the Half-Life: Alyx Workshop Tools, Valve has released the latest version of the Source Filmmaker with them, allowing users to take advantage of the high quality assets and maps that Half-Life: Alyx has, as well as the growing list of assets available on the Steam Workshop.
Getting Started with the Half-Life: Alyx SFM
To get started, you're first going to need to own Half-Life: Alyx on Steam. Then, you must follow the steps for installing the tools and creating your first addon. The addon you create will be where your SFM content will live, so make it something memorable like "sourcefilmmaker" or "usermod" (this is equivalent to the mod name with the old tools, if you remember that.)
As an aside, all your addon content will exist in hlvr_addons/mod_name, so i.e. C:/Program Files (x86)/Steam/steamapps/common/Half-Life Alyx/game/hlvr_addons/usermod.

You can open the SFM by opening your addon in the workshop tools, and clicking the Source Filmmaker icon.