Hint $\ $ The conjugate is also a root since the conjugation map $\ \alpha = a + b\sqrt 2\,\mapsto\, \bar \alpha = a-b\sqrt 2\,$ $\rm\color{#c00}{preserves\ sums\,\ \&\,\ products}\:$ and it $\rm\:\color{#0a0}{fixes\ coefficients}\in\color{#0a0}{\Bbb Q}.\:$ Therefore, by induction, it preserves polynomials $\rm\ \overline{f(w)} = f(\overline w),\ \ f(x)\in\color{#0a0}{\Bbb Q}[x],\ $ having all $\,\rm\color{#0a0}{rational}$ coefficients, since such polynomials are compositions of said basic operations. $ $ More explicitly
$ \begin{eqnarray}
\rm \overline{f(w)}\:
&=&\rm\ \ \overline{a_n w^n +\,\cdots + a_1 w + a_0}\\
&=&\rm\,\ \overline{a_n w^n}\, +\,\cdots + \overline{a_1 w} + \overline a_0\quad by\ \ \ \color{#c00}{\overline{x+y}\, =\, \overline x + \overline y}\\
&=&\rm\,\ \overline a_n\, \overline w^n+\,\cdots + \overline a_1\overline w + \overline a_0\quad by\ \ \ \color{#c00}{\overline{x\, *\, y}\, =\, \overline x\, *\, \overline y} \\
&=&\rm\,\ a_n\, \overline w^n + \,\cdots + a_1 \overline w + a_0\quad by\ \ \ \color{#0a0}{\overline a = a}\ \ \forall\ \color{#0a0}a\in \color{#0a0}{\Bbb Q}\\
&=&\rm\ f(\overline w)\\
\rm Hence\ \ \ 0 = f(w)\! \ \Rightarrow\ 0 = \bar 0 = \overline{f(w)}\:& =&\ \rm f(\overline w),\ \ {\rm i.e.\ } w\,\ {\rm a\ root}\Rightarrow\ \bar w\,\ {\rm a\ root}\quad {\bf QED}
\end{eqnarray}$