Let $A,B$ be sets, and $A\sqcup B$ the disjoint union. Suppose that in a (concrete) category, the free objects $F_A,F_B,F_{A\sqcup B}$ exist, and that the coproduct $F_A \coprod F_B$ exists. How can I prove (if true) that $$F_{A\sqcup B}\;\cong\;F_A\coprod F_B?$$
Using the universal properties, I've managed to produce a unique morphism $f\!: F_A\coprod F_B \longrightarrow F_{A\sqcup B}$, such that the following diagram commutes:

Now I don't know how to produce a morphism $g\!: F_{A\sqcup B} \longrightarrow F_A\coprod F_B$.
You mentioned that you don't know about adjoint functors, so probably this is as good a time as any to learn about them. Since the formulation of your question does not assume the existence of a left adjoint $F$ to the "forgetful functor" $U \colon \mathcal{C} \to \mathsf{Set}$, we shouldn't do what Martin B. and mland suggested, although the argument is essentially the same.
I gave the construction of the map $g \colon F_{A \amalg B} \to F_A \amalg F_B$ in a comment to mland's answer which I describe in more detail in the highlighted box below. Let me try to describe the thought process that led to it.
What we are given:
a concrete category $\mathcal{C}$ with "forgetful functor" $U \colon \mathcal{C} \to \mathsf{Set}$;
sets $A,B$ and a coproduct diagram $j_A \colon A \to A \amalg B \gets B : \! j_B$ in $\mathsf{Set}$;
objects $F_A, F_B, F_{A \amalg B}$ in $\mathcal{C}$ and functions $\eta_A \colon A \to UF_A$, $\eta_B \colon B \to UF_B$ and $\eta_{A \amalg B}\colon A \amalg B \to UF_{A \amalg B}$ in $\mathsf{Set}$ exhibiting $F_A,F_B, F_{A \amalg B}$ as free objects over $A,B,A \amalg B$, respectively;
a coproduct diagram $i_A \colon F_A \to F_{A} \amalg F_{B} \gets F_B : \! i_B$ in $\mathcal{C}$.
What you did:
The universal property of $\eta_{A} \colon A \to UF_A$ applied to $\eta_{A \amalg B} \circ j_A \colon A \to UF_{A\amalg B}$ gives a unique map $f_{A} \colon F_A \to F_{A \amalg B}$ such that $Uf_A \circ \eta_A = \eta_{A \amalg B} \circ j_A$ and similarly there is a unique map $f_B \colon F_B \to F_{A \amalg B}$ such that $Uf_B \circ \eta_B = \eta_{A \amalg B} \circ j_B$.
From the coproduct diagram $i_A \colon F_A \to F_{A} \amalg F_{B} \gets F_B : \! i_B$ and the diagram $f_A \colon F_A \to F_{A \amalg B} \gets F_{B} : \! f_B$ we get a unique morphism $f \colon F_A \amalg F_B \to F_{A \amalg B}$ such that $f_A = f \circ i_A$ and $f_B = f \circ i_B$.
What is missing: a map $g \colon F_{A \amalg B} \to F_A \amalg F_{B}$ inverse to $f$.
What we haven't used so far:
the universal property of the map $\eta_{A \amalg B} \colon A \amalg B \to UF_{A \amalg B}$;
the fact that $j_A \colon A \to A \amalg B \gets B : \! j_B$ is a coproduct diagram in $\mathsf{Set}$.
So the solution likely involves combining the two missing points. The universal property of $\eta_{A \amalg B}$ will give us a map defined on $F_{A \amalg B}$ which will land in $X$ whenever we produce a map $A \amalg B \to UX$ for $X$ in $\mathcal{C}$ and the coproduct $A \amalg B$ is designed to produce maps out of $A \amalg B$, so we want to take $X = F_A \amalg F_B$ and we need to produce maps $A \to U(F_A \amalg F_B) \gets B$.
It remains to verify that $f \circ g \colon F_{A \amalg B} \to F_{A \amalg B}$ and $g \circ f \colon F_{A} \amalg F_{B} \to F_{A} \amalg F_{B}$ are the identity morphisms by using the given definitions and universal properties. This is a routine exercise that tends to be clearer if you do it yourself, so I recommend that you try to do it on your own before reading the details.
Consider $f \circ g$. We apply the universal property of $\eta_{A \amalg B}\colon A \amalg B \to F_{A \amalg B}$. First, we have $$ U(f \circ g) \circ \eta_{A \amalg B} = Uf \circ Ug \circ \eta_{A \amalg B} = Uf \circ h. $$ But $h$ is determined by $h \circ j_A = h_A = Ui_A \circ \eta_A$, so $$ Uf \circ h \circ j_A = Uf \circ Ui_A \circ \eta_A = U(f \circ i_A) \circ \eta_A = U(f_A) \circ \eta_A = \eta_{A \amalg B} \circ j_A, $$ whence $Uf \circ h \circ j_A = \eta_{A \amalg B} \circ j_A$. Similarly $Uf \circ h \circ j_B = \eta_{A \amalg B} \circ j_B$. Therefore $Uf \circ h = \eta_{A \amalg B}$ and hence $U(f \circ g) \circ \eta_{A \amalg B} = \eta_{A \amalg B} = U(1_{F_{A \amalg B}}) \circ \eta_{A \amalg B}$. This implies $f \circ g = 1_{F_{A \amalg B}}$ by universality of $\eta_{A \amalg B}$.
Now consider $g \circ f \colon F_{A} \amalg F_{B} \to F_{A} \amalg F_{B}$. We apply the universal property of $F_{A} \amalg F_{B}$. So we consider $g \circ f \circ i_A \colon F_{A} \to F_{A} \amalg F_{B}$ and we want to show that $g \circ f \circ i_A = i_A$. To do this, note that $$ U(g \circ f \circ i_A) \circ \eta_A = Ug \circ Uf_A \circ \eta_A = Ug \circ \eta_{A \amalg B} \circ j_A = h \circ j_A = h_A = Ui_A \circ \eta_A $$ so $g \circ f \circ i_A = i_A$ by universality of $\eta_A$ and thus $g \circ f \circ i_A = 1_{F_A \amalg F_B} \circ i_A$. Similarly, $g \circ f \circ i_B = 1_{F_A \amalg F_B} \circ i_B$, so the universal property of $F_A \amalg F_B$ yields $g \circ f = 1_{F_A \amalg F_B}$.