Beggining of the proof: Note that every power of $\sigma$ comutes with $\sigma$, then $\langle \sigma \rangle \subset C_{S_{n}}(\sigma)$.
I have two questions:
Why $|\langle \sigma \rangle|= o(\sigma)=n$ ?
Why is enough show that $|C_{S_{n}}(\sigma)|=n$ (after show item 1) to prove that $C_{S_{n}}(\sigma) \subset \langle \sigma \rangle$?
Let $d := \vert \sigma \vert$ the order of the element $\sigma$. Then we can write any $n \in \mathbb{N}$ as $n = m+cd$ where $m,c \in \mathbb{N}$. Then we have
$$\sigma^n = \sigma^{m + cd} = \sigma^m$$
So in particular for any $\sigma^n, \sigma^m \in \{\sigma^n \vert 0 \leq n < d\}$ we have that $\sigma^n \sigma^m = \sigma^{n+m} = \sigma^{k + cd} = \sigma^k$ with $k < d$.
For the inverse, note that for any $\sigma^m \in \{\sigma^n \vert 0 \leq n < d\}$ we have $\sigma^m \sigma^{d-m} = \sigma^d = \sigma^0 = e$. Hence $\{\sigma^n \vert 0 \leq n < d\}$ indeed forms a subgroup and it contains $\sigma$. By the construction we can also see that it is the smallest with this property.