I've tried reducing the expression to something obviously true, but I couldn't get anywhere. Also tried induction but I got stuck at the inductive step and failed to obtain anything useful. I've also tried to prove it by contradiction, still to no avail.
Also tried to show that $a_n/a_{n+1} > 1$, again without success because I don't know how to deal with the sines that appear in the expression, and there I ran out of ideas.
EDIT: I could perhaps consider the continuos case of a function given with the same expression, by testing it's derivative, however that's not really what I'm trying to do here unless someone knows a more rigorous line of reasoning to use this idea somehow.
The fraction $\frac{n\pi}{3n+1}$ increases strictly with $n$. Therefore, by Aristarchus's inequality, $$ \frac{\sin\left(\frac{(n+1)\pi}{3n+4}\right)}{\sin\left(\frac{n\pi}{3n+1}\right)} < \frac{(n+1)(3n+1)}{n(3n+4)} = 1 + \frac1{n(3n+4)}. $$ Write $t = \frac1{n(3n+4)} < 1$. For $n \geqslant 2$, $$ \left(1 + \frac1{n(3n+4)}\right)^2 = 1 + 2t + t^2 < 1 + 3t < 1 + \frac1{n(n+1)} < 1 + \frac1{n+3} = \frac{n+4}{n+3}. $$ Hence: $$ \frac{a_{n+1}}{a_n} = \frac{\sin\left(\frac{(n+1)\pi}{3n+4}\right)}{\sin\left(\frac{n\pi}{3n+1}\right)} \cdot \frac{\sqrt{n+3}}{\sqrt{n+4}} < 1 \quad (n \geqslant 2). $$ We also have $$ a_1 = \frac{1}{2\sqrt2} > 0.35 > \frac{\sin\left(\frac{2\pi}{7}\right)}{\sqrt5} = a_2, $$ so the inequality does actually hold for all $n \geqslant 1$.
For a slightly tidier finish, one could argue thus: $$ 2\sin^2\left(\frac{2\pi}{7}\right) = 1 - \cos\left(\frac{4\pi}{7}\right) = 1 + \sin\left(\frac{\pi}{14}\right) < 1 + \frac{\pi}{14} < \frac{5}{4}. $$