[step:Express the projection by existential quantification]
Define the formula $\varphi(x_1,\dots,x_n)$ by
\begin{align*}
\varphi(x_1,\dots,x_n) \equiv \exists y\, \theta(x_1,\dots,x_n,y).
\end{align*}
For every $a=(a_1,\dots,a_n) \in F^n$, we have
\begin{align*}
a \in \pi(A)
&\iff \text{there exists } b \in F \text{ such that } (a_1,\dots,a_n,b) \in A \\
&\iff \text{there exists } b \in F \text{ such that } F \models \theta(a_1,\dots,a_n,b) \\
&\iff F \models \exists y\,\theta(a_1,\dots,a_n,y) \\
&\iff F \models \varphi(a_1,\dots,a_n).
\end{align*}
Thus $\pi(A)$ is the subset of $F^n$ defined by the first-order formula $\varphi$.
[/step]