So when we have an $\alpha$ with $0 < \alpha < \pi$, I need to find a conformal map from
$S_\alpha = \{z \in \mathbb{C} ~|~ |z| > \frac{1}{2}, -\alpha < \arg(z) < \alpha\}$
to the open unit disk $\mathbb{D}$ but I have no idea how I can construct this. I tried to find a conformal map to the upper half plane but I can't find anything.

Assuming you can map a half disc to a disc, consider this: $z\to 1/z$ maps your $S_\alpha$ to the sector
$$\{|z|<2, -\alpha < \arg z < \alpha \}.$$
Follow this with the map $z\to z^{\pi/(2\alpha)}$ to obtain a half disc.