[proofplan]
We prove each assertion directly from the definition of cofinality. For a successor ordinal, the predecessor alone is cofinal. For a nonzero limit ordinal, every finite subset is bounded below $\alpha$, so no finite cofinal subset exists. Finally, a cofinal increasing map $f: \delta \to \alpha$ supplies a cofinal subset of $\alpha$ of cardinality at most $|\delta|$.
[/proofplan]
[step:Use the predecessor as a cofinal subset of a successor ordinal]
Assume that $\alpha = \beta + 1$ for an ordinal $\beta$. Define the subset $C \subset \alpha$ by $C := \{\beta\}$. Since $\beta < \beta + 1 = \alpha$, this is indeed a subset of $\alpha$.
To check that $C$ is cofinal in $\alpha$, let $\gamma < \alpha$. Since $\alpha = \beta + 1$, every ordinal below $\alpha$ is at most $\beta$, so $\gamma \leq \beta$. Hence $C$ is cofinal in $\alpha$. Therefore
\begin{align*}
\operatorname{cf}(\alpha) \leq |C| = 1.
\end{align*}
Since $\alpha$ is nonzero, no empty subset of $\alpha$ is cofinal in $\alpha$. Thus $\operatorname{cf}(\alpha) \neq 0$, and consequently $\operatorname{cf}(\alpha) = 1$.
[/step]
[step:Show that no finite subset is cofinal in a nonzero limit ordinal]
Assume that $\alpha$ is a nonzero limit ordinal. By definition, $\operatorname{cf}(\alpha)$ is a cardinal, so it remains to prove that it is not finite.
Let $F \subset \alpha$ be a finite subset. If $F = \varnothing$, then $F$ is not cofinal in $\alpha$ because $\alpha \neq 0$, so there exists an ordinal $\gamma < \alpha$, for instance $\gamma = 0$, with no element of $F$ above it.
Now suppose $F \neq \varnothing$. Since ordinals are linearly ordered by membership and $F$ is finite, $F$ has a maximum element; denote it by $\mu \in F$. Since $F \subset \alpha$, we have $\mu < \alpha$. Because $\alpha$ is a limit ordinal, it is not equal to $\mu + 1$, and therefore
\begin{align*}
\mu + 1 < \alpha.
\end{align*}
Every element of $F$ is at most $\mu$, so no element of $F$ is greater than or equal to $\mu + 1$. Hence $F$ is not cofinal in $\alpha$.
Thus no finite subset of $\alpha$ is cofinal in $\alpha$. Since $\alpha$ itself is a cofinal subset of $\alpha$, cofinal subsets exist, and the least possible cardinality of such a subset is an infinite cardinal. Therefore $\operatorname{cf}(\alpha)$ is an infinite cardinal.
[guided]
Assume that $\alpha$ is a nonzero limit ordinal. The cofinality $\operatorname{cf}(\alpha)$ is defined as the least cardinality of a cofinal subset of $\alpha$, so it is automatically a cardinal once we know that cofinal subsets exist. They do exist: the whole set $\alpha$ is cofinal in itself, because every $\gamma < \alpha$ is bounded above by itself, an element of $\alpha$.
It remains to rule out finite cofinal subsets. Let $F \subset \alpha$ be finite. If $F = \varnothing$, then $F$ cannot be cofinal in $\alpha$: since $\alpha \neq 0$, the ordinal $0$ satisfies $0 < \alpha$, and there is no element of the empty set above $0$.
Now suppose $F \neq \varnothing$. A finite nonempty set of ordinals has a largest element because ordinals are linearly ordered. Let $\mu \in F$ denote this maximum. Since $F \subset \alpha$, we have $\mu < \alpha$. The limit ordinal hypothesis is used exactly here: because $\alpha$ is a limit ordinal, no successor ordinal reaches $\alpha$ from below. Hence
\begin{align*}
\mu + 1 < \alpha.
\end{align*}
But every element of $F$ is at most $\mu$, so no element of $F$ is at least $\mu + 1$. Therefore $F$ fails the defining condition for cofinality.
We have shown that every finite subset of $\alpha$ is not cofinal. Since cofinal subsets exist and the cofinality is the least cardinality of such a subset, $\operatorname{cf}(\alpha)$ cannot be finite. Therefore $\operatorname{cf}(\alpha)$ is an infinite cardinal.
[/guided]
[/step]
[step:Bound cofinality by the size of any cofinal indexing ordinal]
Let $\delta$ be an ordinal, and let $f: \delta \to \alpha$ be an increasing map whose range is cofinal in $\alpha$. Define the range subset $R \subset \alpha$ by
\begin{align*}
R := f[\delta] = \{f(\xi) : \xi < \delta\}.
\end{align*}
By hypothesis, $R$ is cofinal in $\alpha$. Therefore, by the definition of cofinality,
\begin{align*}
\operatorname{cf}(\alpha) \leq |R|.
\end{align*}
The map
\begin{align*}
f: \delta &\to R \\
\xi &\mapsto f(\xi)
\end{align*}
is surjective by the definition of $R$, so $|R| \leq |\delta|$. Combining the two inequalities gives
\begin{align*}
\operatorname{cf}(\alpha) \leq |R| \leq |\delta|.
\end{align*}
Thus $\operatorname{cf}(\alpha) \leq |\delta|$.
[/step]