I would like to find an asymptotic form of the following integral when $s \to \infty$ ($s$ and $w$ are positive)
\begin{equation} \int_{0}^{\infty} dx ~ \sqrt{x^2 + wx} ~ e^{-ixs} \end{equation}
I have tried a change of variable first $xs = y$ to get
\begin{equation} \int_{0}^{\infty} \frac{dy}{s}~ \sqrt{\frac{y^2}{s^2} + \frac{wy}{s}} e^{-iy} \end{equation} I suspect also that the main contribution will come from around $y=0$, and I know that the rapid oscillations of the integrand will cancel most of the integral outside that region, so I could perform the integral only up to $L$ instead of $\infty$ (although I am not sure what $L$ should be chosen). This, I think, would lead to the asymptotics (first order is enough) for the integral being
$$ \sqrt{w/s} \int_0^L dy ~ \sqrt{y} e^{-iy} $$ Is this correct and or can be improved?
I believe that in order for the integral to make sense, we should consider $s$ to be complex with $\text{Im}\,s <0$. In fact, Fourier (or Laplace) transforms make in general the most sense in the context of complex calculus.
So let me rephrase your question:
The asymptotic analysis can be performed by the method of steepest decent. In fact we can deform the integration over $x\in[0,\infty)$ into the lower half-plane of the complex $x$ plane. In particular, we have with $y=i x$ $$I(s) = -i \int_{0}^{\infty} \!dy \, \sqrt{-y^2- i w y} \, e^{-s y} .$$ For $s\to\infty$, the integral is dominated for $y$ close to 0. We can thus expand the square root and obtain $$I(s) \sim -i \sqrt{-i w} \int_0^\infty \!dy \, \Bigl[y^{1/2} + O(y^{3/2}) \Bigr] e^{-s y} \sim - \tfrac12 \pi^{1/2} e^{i\pi/4} w^{1/2} s^{-3/2} \tag{1}$$ with the next term proportional to $s^{-5/2}$. As explained above the result is valid for $\text{Im}\,s<0$.