My attempt is as follows though I'm not very confident in it:
Let $c=\gcd(|a|,|b|)$. Then $c\mid |a|$ and $c\mid |b|$, then it must also be true that $c\mid (x|a|) \space \forall x\in\mathbb{Z}.$ In particular $x=-1$. So then $c\mid |a|$ and $c\mid (-|a|)$ so it must be that $c\mid a$ so $c$ is a divisor for both $a$ and $b$.
Let us now show it is the greatest such divisor:
For sake of contradiction, assume $c \neq \gcd(|a|, |b|)$. So $\exists \space c_1$ such that $c_1 > c$ and $c_1\mid a,\space c_1\mid b,\space c_1\nmid|a|$ and $c_1\nmid|b|$. But we've already seen that $c\mid a \iff c\mid |a|$ so this $c_1$ is contradictory and therefore $\gcd(a, b) = \gcd(|a|, |b|)$.