Contrary to what hardmath's comment says, your way of expanding out $f(z+w)$ will work.
Assume that $|z| < R-r$.
In particular $|z+w| < R$, so the series for $f(z+w)$ converges:
\begin{align*}
f(z+w)
&= \sum_{n=0}^\infty a_n (z+w)^n \\
&= \sum_{n=0}^\infty \sum_{i=0}^n a_n \binom{n}{i} z^i w^{n-i}
\end{align*}
With proper justification$^{1}$, as the series converges absolutely, we may switch the order of summation:
\begin{align*}
&= \sum_{i=0}^\infty \sum_{n=i}^\infty a_n \binom{n}{i} w^{n-i} z^i
\end{align*}
So let $b_i = \sum_{n=i}^\infty a_n \binom{n}{i} w^{n-i}$, and we have what we wanted:
$$
f(z+w) = \sum_{i=0}^\infty b_i z^i.
$$
$^{1}$Specifically, to justify this, it suffices (see this note) to show that
$$\sum_{n=0}^\infty \sum_{i=0}^n |a_n| \binom{n}{i} |z|^i |w|^{n-i} < \infty.$$
But the expression is equal to
$$\sum_{n=0}^\infty |a_n| \left(|z| + |w|\right)^n,$$
and since $\big||z| + |w|\big| = |z| + |w| < (R-r) + r = R$, the original series converges absolutely for $|z| + |w|$ which is what the above says.