In the notes on the Lie groups $SU(2)$ and $SO(3)$ found here, the authors state (page 75, before Proposition 2.2) the following.
Consider the $\mathbb R$-linear map $\mathbb R^3\ni a\mapsto M_a\in\mathfrak{so}(3)$ defined by $e_k\mapsto \eta_k$, where $e_k\in\mathbb R^3$ are the elements of the canonical basis of $\mathbb R^3$, $\eta_k\in\mathfrak{so}(3)$ are the corresponding generators: $\exp(i\eta_k)=\mathrm{Rot}(e_k,t)$, and $\mathrm{Rot}(a,t)$ denotes the rotation by angle $t$ around the axis $a\in\mathbb R^3$.
We can then write $M_a(x)=a\wedge x$. This is easy to see, for example writing $\eta_i=\varepsilon_{ijk} (e_j e_k^* - e_k e_j^*)$. Then, they say, given $g\in SO(3)$ and $a,x\in\mathbb R^3$, we have $$M_{ga}(x) = (ga)\wedge x = g(a\wedge (g^{-1}x)) = (g M_ag^{-1})(x). \tag1$$ What's a good way to show (1)?
By direct computation, using $x\wedge y=\sum_{ijk}\varepsilon_{ijk}e_i x_j y_k$, I get $$[(ga)\wedge x]_i = \sum_{jk\ell}\varepsilon_{ijk} g_{j\ell}a_\ell x_k, \\ [g(a\wedge (g^{-1}x))]_i = \sum g_{ij}\varepsilon_{jk\ell} a_k g^{-1}_{\ell m}x_m. $$ Because $g\in SO(3)$ I know that $g^{-1}_{\ell m}=g_{m\ell}$, but even with this I'm not sure how to simplify the expressions to show that they are equal.
I could probably just get the identity from geometrical intuition, observing that it must be that $g(x\wedge y)=(gx)\wedge (gy)$, but I wanted to show it explicitly algebraically here.
This would be one way of proving the statement: Fixing some $r$ and $s$, the expression $$\sum_{i,j,k} \epsilon_{ijk} \cdot g_{ir}g_{js}$$ is the vector product between the $r$-th and the $s$-th column of the matrix $g$. Now, since $g \in SO(3)$, the columns of $g$ form a positively oriented orthonormal basis of $\mathbb{R}^3$, or, in other words, the vector product of two columns gives, up to a sign, the third column, i.e. if we denote the columns of $g$ by $g_1,g_2,g_3$
$$g_1 \times g_2 = - g_2 \times g_1 = g_3, \quad g_2 \times g_3 = - g_3 \times g_2 = g_1, \dots$$ and so on. Using the $\epsilon$-tensor, we can summarize this as
$$\sum_{i,j,k} \epsilon_{ijk} \cdot g_{ir}g_{js} = [g_r \times g_s]_i = \left[\sum_k \epsilon_{rsk} \cdot g_{k}\right]_i = \sum_k \epsilon_{rsk} \cdot g_{ik}. $$
Now, using the identity that you mentioned, and playing around with the indices (recall for example that $\epsilon_{ijk} = \epsilon_{kij} = \epsilon_{jki}$), this will give you the identity you want.