The question really is that simple:
Prove that the manifold $SO(n) \subset GL(n, \mathbb{R})$ is connected.
it is very easy to see that the elements of $SO(n)$ are in one-to-one correspondence with the set of orthonormal basis of $\mathbb{R}^n$ (the set of rows of the matrix of an element of $SO(n)$ is such a basis).
My idea was to show that given any orthonormal basis $(a_i)_1^n$ in $\mathbb{R}^n$ there's a continuous deformation from $(a_i)_1^n$ to $(e_i)_1^n$ the usual basis passing only through orthonormal basis. Such a deformation would yield a path between any element of $SO(n)$ and $I$, and the theorem would follow.
Also, a geometric picture is also "simple", one would simply spin the first basis until $a_1$ agrees with $e_1$ and proceed from there. However i'm having a lot of trouble coming up with this spinning process.
Any help would be appreciated.
The idea is now to apply basic knowledge of rotations in two dimensions to the subspace $V:=\text{span}(v,u)$ and construct a rotation that leaves the complement of $V$ invariant. Since $w\in V$ and is normalized, there is an angle $\varphi$ s.th. (in the above constructed basis): $$w = \begin{bmatrix} cos\varphi & sin\varphi & 0 \\ -sin\varphi & cos\varphi & 0 \\ 0 & 0 & I_{n-2} \end{bmatrix} v$$ Now, we can define our path: $$\gamma(t):= \begin{bmatrix} cos(t\varphi) & sin(t\varphi) & 0 \\ -sin(t\varphi) & cos(t\varphi) & 0 \\ 0 & 0 & I_{n-2} \end{bmatrix}$$ that is clearly in $SO(n)$ and takes $v$ to $w$ when applied to $v$.
This seems to correspond to your "spinning process".
But here we have to watch out:
$\gamma_2$ has to leave $e_1$ invariant, otherwise we destroy our previous work. But this is indeed the case, since: $e_1 \perp e_2$ and $e_1 \perp \gamma_1(1)a_2$ (the second being true because applying $\gamma_1$ to an orthonormal basis results in an orthonormal basis) and so $e_1$ is in the complement of the subspace in which the rotation happens (see first step) and is thus left invariant. Continuing this yields a composed path $ \gamma := \gamma_1 \star \gamma_2 \star ... \star \gamma_{n-1}$ s.th. $\gamma(0) = I_n$ and $(\gamma(1)a_1,...,\gamma(1)a_n)=(e_1,...,e_n)$.
$SO(n)$ is therefore path-connected.