For $f(z) = \sqrt{z^2+1}$, how can I find the branch points and cuts?
I took $z=re^{i\theta+2n\pi}$ and substitute in $f(z)$
$$\sqrt{r^2 e^{i(2\theta +4n\pi)}+e^{i 2k\pi}}=$$
then, I don't know how to deal with this any more
and by guessing,
I think the branch points should be $i,-i$ and cut is $[-i,i]$
Your solution is correct, but since you are guessing, I will explain it.
The values of $z$ that make the expression under the square root zero will be branch points; that is, $z = \pm i$ are branch points. Let $z - i = r_1e^{i\theta_1}$ and $z +i = r_2e^{i\theta_2}$. Then $f(z) = \sqrt{z^2 + 1} = \sqrt{r_1r_2}e^{i(\theta_1+\theta_2)/2}$.
We could choose $[i, \infty)$ and $[-i, -\infty)$, but from item 4, we have seen traversing around both points returns the function to its original value. Therefore, we can choose a finite branch cut, namely, $[-i, i]$.