To prove the Laplace transform formula for functions with finite jumps, one can start by using the definition of the Laplace transform, specifically integrating the product of the exponential function and the function of interest. For the Laplace transform of sin(t)cos(t), it is useful to recognize that sin(t)cos(t) can be rewritten as (1/2)sin(2t), simplifying the integration process. The discussion also touches on the application of the shift rule and the distinction between convolution and multiplication in Laplace transforms. Ultimately, the method involves careful integration by parts and understanding the properties of the functions involved. The conversation emphasizes the importance of these foundational concepts in solving Laplace transform problems.