So, I have to define a natural transformation between functors $F,G:C\to C$, where $F(X)= X^{A+B}$ and $G(X)=X^A\times X^B$. I figured out that $\alpha_X:X^{A+B}\to X^A\times X^B$ must be $\langle f,g \rangle$ where $f:X^{A+B}\to X^A$ and $g:X^{A+B}\to X^B$, but I can't define $f$ (or $g$, it's the same). How can I do it?
Thanks in advance.
By definition of the exponential object, $\hom(X^{A+B}, X^A) \cong \hom(X^{A+B} \times A, X)$. So you want a natural morphism $X^{A+B} \times A \to X$ (and similarly for $B$, then you take the product of these two morphisms).
But again by definition of the exponential object you have a natural morphism: $$\operatorname{eval} : X^{A+B} \times (A+B) \to X.$$
By the universal properties of the product and the coproduct, $$X^{A+B} \times (A + B) \cong (X^{A+B} \times A) + (X^{A+B} \times B).$$
So if you compose the evaluation with the canonical (natural) "injection": $$X^{A+B} \times A \to (X^{A+B} \times A) + (X^{A+B} \times B),$$ you get the morphism you want. I will let you check that everything is natural (a healthy exercise).