To find the third roots of $z=5-\sqrt{2}i$ I determined the polar form of $z$ obtaining $\sqrt{27}\text{cis}(344.20\overline{7})$.
This yielded the three roots $w_1=\sqrt{3}\text{cis}(114.73\overline{6})$, $w_2=\sqrt{3}\text{cis}(234.73\overline{6})$, $w_3=\sqrt{3}\text{cis} (354.73\overline{6})$.
In normal form this is $w_1=−0.7247448715 + 1.573132185i$, $w_2=−1 − 1.414213562i$ and $w_3=1.724744872 − 0.15891862i$. Recognizing $w_2=-1-\sqrt{2}i$ permits to find also the closed forms of $w_3$ and $w_1$ by multiplying $w_2$ with $-\frac{1}{2}+\frac{\sqrt{3}}{2}i$ and $\left(-\frac{1}{2}+\frac{\sqrt{3}}{2}i\right)^2$ respectively.
How does one find the closed forms of the roots if one doesn't recognize one of them?
In the case of a third root it is possible to express $\cos(\alpha/3)$ with $\cos(\alpha)$ by solving a cubic equation. But to find e.g. that $1-2i$ is a fifth root of $41+38i$ this doesn't work anymore.
If you are asking on how to solve them without trig, then you could do it quite simply as follows:
$$5-\sqrt2i=(a+bi)^3=a^3+3a^2bi-3ab^2-b^3i$$
Thus,
$$5=a^3-3ab^2$$
$$\sqrt2=b^3-3a^2b$$
Which is a system of equalities which result in a cubic, which upon solving, gives
$$w_1=\frac{1-\sqrt6}2+\frac{(\sqrt6-1)(3\sqrt6+8)}{10\sqrt2}i\\\vphantom{\cfrac11}w_2=-1-\sqrt2i\\w_3=\frac{1+\sqrt6}2+\frac{(\sqrt6+1)(3\sqrt6-8)}{10\sqrt2}i$$
In general, if you are trying to find all $n$th roots of $x+yi$, just set
$$x+yi=(a+bi)^n$$
and solve from there.