It's relatively easy if you use the Levi-Civita symbol $\epsilon_{ijk}$ and the following identities
$$\sum_{ijk}\epsilon_{ijk}A_{ai}A_{bj}A_{ck}=\text{det}A \; \epsilon_{abc}$$
and
$$(v\times w)_i=\sum_{jk} \epsilon_{ijk} v_j w_k \; .$$
Then
$$(A(v\times w))_a = \sum_{ijk} A_{ai}\epsilon_{ijk} v_j w_k = \sum_{ijk} A_{ai}\epsilon_{ijk} \sum_{t}\delta_{jt}v_t \sum_{s}\delta_{ks}w_s \; .$$
At the end, I introduced Kronecker's delta. Since $A$ is an orthogonal matrix, $A^TA=\mathbb{I}$ or in index notation
$$\sum_{b}A_{bj}A_{bt}=\delta_{jt}$$
which brings us to
$$(A(v\times w))_a=\sum_{ijkbcts}A_{ai}\epsilon_{ijk}A_{bj}A_{bt}v_tA_{ck}A_{cs}w_s$$
or after rearranging factors
$$(A(v\times w))_a=\sum_{ijkbcts}\epsilon_{ijk}A_{ai}A_{bj}A_{ck}A_{bt}v_t A_{cs}w_s=\sum_{ijkbc}\epsilon_{ijk}A_{ai}A_{bj}A_{ck}\sum_t A_{bt}v_t \sum_s A_{cs}w_s$$
The last sums are $(Av)_b$ and $(Aw)_c$, thus
$$(A(v\times w))_a=\sum_{bc}\left(\sum_{ijk}\epsilon_{ijk}A_{ai}A_{bj}A_{ck}\right)(Av)_b (Aw)_c = \text{det}A \sum_{bc}\epsilon_{abc}(Av)_b (Aw)_c$$
in which we used our very first identity. Finally, using the second identity
$$(A(v\times w))_a = \text{det}A \; (Av \times Aw)_a \; .$$
which implies the sought after identity.
When $M$ is orthogonal, $M^T=M^{-1}$ and $\det(M)=\pm1$. Hence the result.
– user1551 Feb 04 '15 at 22:30