$\newcommand{\avint}{⨍}$ Let $u \in C^\infty(\mathbb{R^n})$ with compact support.
How can we prove using direct calculations or Fourier transform methods that $$f(x) = \avint_{\partial B(0,\vert x \vert)} u(t) \ dt\in C^\infty(\mathbb{R}^n)$$ with compact support?
We use $\partial B(0,\vert x \vert)$ to denote the boundary of the ball of center $0$ and radius $|x|$ (Euclidean norm).
Note that
$$f(x) = \int_S u(|x|t)\, dt,$$
where in my notation $dt$ is normalized surface area measure on the unit sphere.
Suppose $u$ is a polynomial. Then we can write $u$ in its homogeneous expansion: $u=\sum_{k=0}^{m} u_k,$ where $u_k$ is a homogeneous polynomial of degree $k.$ Now if $k$ is odd, then by symmetry, $\int_S u_k(|x|t)\, dt = 0.$ Thus in this case we have
$$f(x) = \sum_{k \text { even},\, k\le m} \int_S u_k(|x|t)\, dt = \sum_{k \text { even},\, k\le m} |x|^k\int_S u_k(t)\, dt.$$
Because only even powers of $|x|$ appear in the last sum, $f$ is a polynomial in $|x|^2,$ so certainly $f\in C^\infty(\mathbb R^n).$
For the general problem let's note there is no problem differentiating $f$ away from $0.$ That's because $|x|\in C^\infty(\mathbb R^n\setminus \{0\}),$ so passing derivatives through the integral sign is straightforward, although the formulas start getting complicated.
Given $u\in C^\infty(\mathbb R^n),$ we can write $u= p + v,$ where $p$ is the Taylor polynomial of $u$ based at $0,$ i.e.,
$$p(x) = \sum_{|\alpha|\le d}\frac{(D^\alpha u(0))}{\alpha!}x^\alpha,$$
of some high degree $d.$ It then follows that all of $v$'s partial derivatives or order $\le d/2$ are $O(|x|^{d/2})$ as $x\to 0.$ This implies that if
$$ g(x) = \int_S v(|x|t)dt,$$
then the derivatives of $g$ away from $0,$ up to some high order $k = k(d),$ all $\to 0$ at $0.$ This implies $g\in C^k(\mathbb R^n).$ I haven't written down the details, but you can verify that $k(d) \to \infty$ as $d\to \infty.$
Conclusion: Using the $u=p +v$ decomposition, we have $f\in C^k(\mathbb R^n)$ for every $k.$ This of course implies $f\in C^\infty(\mathbb R^n).$