I'm trying to prove the inequality
$$|e^{i\theta_1}-e^{i\theta_2}| \leq |\theta_1 - \theta_2|$$
I have tried to use Taylor's formula and got this
$$|e^{i\theta_1}-e^{i\theta_2}| = |(1+i\theta_1 - \frac{\theta_1^2}{2} + \ldots) -(1 +i\theta_2 - \frac{\theta_2^2}{2} + \ldots)| = |i(\theta_1-\theta_2) + \frac{\theta_2^2-\theta_1^2}{2}+\ldots|$$
The first term looks right, but how do I proceed?

$$|e^{i\theta_1}-e^{i\theta_2}|= |(e^{i\theta_1}-1)-(e^{i\theta_2}-1)|= |\int^{\theta_1}_0ie^{it}dt-\int^{\theta_2}_0ie^{it}dt | = |\int^{\theta_1}_{\theta_2}ie^{it}dt |\leq |\theta_1 - \theta_2|.$$
All credits go to @1015 and his great answer in here.