Here, $R$ is a proper rotation matrix, and $(\times)$ is the cross-product.
I already found 3 ways of proving this, all have problems, and I am requesting an elegant approach.
(1) Direct calculation, $R = R_{\mathbf{u},\theta}$ has an explicit expression, where $\mathbf{u}$ is the vector about which the rotation of $\theta$ is carried out. It is essentially possible to calculate both sides and compare. Inelegant.
(2) Using antisymmetric matrices: $Ra \times Rb=S(Ra)Rb=RS(a)R^\top Rb=RS(a)b=R(a\times b)$.
My issue with this is that the equality I am trying to prove, is used to prove $RS(a)R^\top=S(Ra)$. And so using this feels circular.
(3) $Ra \times Rb=\|Ra\|\|Rb\|\sin(Ra,Rb)\mathbb{\hat{u}_1}$ and $a \times b=\|a\|\|b\|\sin(a,b)\mathbb{\hat{u}_2}$.
Here, essentially $\|Ra\|$ should equal $\|a\|$ since $R$ only affects orientation.
Because the relative orientation does not change, the $\sin(\cdot)$ term should be equal.
Likewise, $\mathbb{\hat{u}_1}$ and $\mathbb{\hat{u}_2}$ intuitively I know are equal but I am having a hard time expressing it.
Lastly, I have no idea how to bridge $(a \times b)$ to $R(a \times b)$.
I intuitively see it, and perhaps $\det R = 1$ might be useful, but I feel it is hard to write.
Please, a fourth approach is welcome, and insight is always appreciated.
Recall that the cross product $a\times b$ is characterized by the property that
$$ \det(x,a,b)=\langle x,a\times b\rangle, \qquad \forall x\in\mathbb{R}^3. $$
Now let $R\in\mathcal{SO}(3)$. Then by using the fact that $R^{\mathsf{T}} = R^{-1}$, we get
$$ \langle x, R(a \times b) \rangle = \langle R^{\mathsf{T}}x, a \times b \rangle = \langle R^{-1}x, a \times b \rangle = \det(R^{-1}x, a, b). $$
Then, utilizing the assumption $\det(R) = 1$,
$$ = \det(R) \det(R^{-1}x, a, b) = \det(x, Ra, Rb) = \langle x, Ra \times Rb \rangle. $$
Finally, since $\langle x, R(a \times b) \rangle = \langle x, Ra \times Rb \rangle$ holds for any $x\in\mathbb{R}^3$, the desired identity follows.
Addendum. A similar argument shows that, for any invertible $3\times 3$ real matrix $T$,
$$ T(a \times b) = \frac{1}{\det T}(T T^{\mathsf{T}})( Ta \times Tb). $$