[step:Separate the positive, negative, and zero terms]
Define the index sets
\begin{align*}
P &:= \{n \in \mathbb{N} : a_n > 0\},\\
N &:= \{n \in \mathbb{N} : a_n < 0\},\\
Z &:= \{n \in \mathbb{N} : a_n = 0\}.
\end{align*}
Let $(p_k)_{k \in \mathbb{N}}$ be the increasing enumeration of $P$, and let $(q_k)_{k \in \mathbb{N}}$ be the increasing enumeration of $N$. If $Z$ is infinite, let $(z_k)_{k \in \mathbb{N}}$ be its increasing enumeration; if $Z$ is finite, list its elements once as $z_1,\dots,z_m$.
[claim:The positive and negative subseries are infinite and diverge in opposite directions]
The sets $P$ and $N$ are infinite, and
\begin{align*}
\sum_{k=1}^{\infty} a_{p_k} = \infty,
\qquad
\sum_{k=1}^{\infty} a_{q_k} = -\infty.
\end{align*}
[/claim]
[proof]
Since $\sum_{n=1}^{\infty} a_n$ converges, its terms satisfy $a_n \to 0$ as $n \to \infty$. Define the positive and negative parts
\begin{align*}
a_n^+ &:= \max\{a_n,0\},\\
a_n^- &:= \max\{-a_n,0\}.
\end{align*}
Then $a_n = a_n^+ - a_n^-$ and $|a_n| = a_n^+ + a_n^-$ for every $n \in \mathbb{N}$.
Suppose first that $\sum_{n=1}^{\infty} a_n^+$ converges. Since $\sum_{n=1}^{\infty} a_n$ converges, the identity $a_n^- = a_n^+ - a_n$ implies that $\sum_{n=1}^{\infty} a_n^-$ also converges. Hence
\begin{align*}
\sum_{n=1}^{\infty} |a_n|
=
\sum_{n=1}^{\infty} a_n^+
+
\sum_{n=1}^{\infty} a_n^-
\end{align*}
would converge, contradicting the hypothesis that $\sum_{n=1}^{\infty} |a_n|$ diverges. Thus $\sum_{n=1}^{\infty} a_n^+$ diverges. Because each $a_n^+ \geq 0$, its partial sums are increasing, so the divergence is to $\infty$.
It remains to prove that $\sum_{n=1}^{\infty} a_n^-$ diverges to $\infty$. Suppose instead that $\sum_{n=1}^{\infty} a_n^-$ converges. Since $\sum_{n=1}^{\infty} a_n$ converges and $a_n^+ = a_n + a_n^-$ for every $n \in \mathbb{N}$, the series $\sum_{n=1}^{\infty} a_n^+$ would also converge. Then
\begin{align*}
\sum_{n=1}^{\infty} |a_n|
=
\sum_{n=1}^{\infty} a_n^+
+
\sum_{n=1}^{\infty} a_n^-
\end{align*}
would converge, contradicting the conditional convergence hypothesis. Thus $\sum_{n=1}^{\infty} a_n^-$ diverges. Because each $a_n^- \geq 0$, its partial sums are increasing, so the divergence is to $\infty$.
Therefore the positive terms have total sum $\infty$, and the negative terms have total sum $-\infty$:
\begin{align*}
\sum_{k=1}^{\infty} a_{p_k} = \infty,
\qquad
\sum_{k=1}^{\infty} a_{q_k} = -\infty.
\end{align*}
If $P$ were finite, then only finitely many $a_n^+$ would be nonzero, contradicting $\sum_{n=1}^{\infty} a_n^+ = \infty$. If $N$ were finite, then only finitely many $a_n^-$ would be nonzero, contradicting $\sum_{n=1}^{\infty} a_n^- = \infty$. Hence both $P$ and $N$ are infinite.
[/proof]
[/step]