It is the same argument as the one for the Gaussian integers.
Let $w$ and $z$ be in our ring. We want to show that there exist numbers $q$ and $r$ in our ring such that $w=zq+r$, and $N(r) \lt N(z)$, where $N$ is the usual norm.
Consider the complex number $\frac{w}{z}$. There are real numbers $s$ and $t$ such that $\frac{w}{z}=r+s\sqrt{2}i$. Let $a$ be the nearest integer to $r$, and let $b$ be the nearest integer to $s$. Then $a+b\sqrt{2} i$ is in our ring.
Since $|r-a|\le \frac{1}{2}$, and $|s-b|\le \frac{1}{2}$, the norm of $(r+s\sqrt{2}i)-(a+b\sqrt{2}i)$ is $\le \left(\frac{1}{2}\right)^2 + 2\left(\frac{1}{2}\right)^2$, which is $\le \frac{3}{4}$.
Finally, let $q=a+b\sqrt{2}i$, and $r=w-qz$. Then $r=\frac{r}{z}z=\left(\frac{w}{z}-q\right)z$, and therefore
$$N(r)=N\left(\frac{w}{z}-q\right)N(z)\le \frac{3}{4}N(z).$$
For infinitely many irreducibles, the usual "Euclid" argument works with minor changes, and the irreducibles are prime. Or else, more simply, show that for any ordinary prime $p_i$, there is a non-unit irreducible $w_i$ that divides $p_i$. This produces infinitely many primes in our ring. It is useful to observe that by Bezout's Theorem, any two ordinary integers that are relatively prime in the ordinary sense do not have a common non-unit divisor in our ring.