I'll try in $\to$ direction;
Nothing divides the prime $p$ but $\pm1, \pm p$. If $a = \pm p$ or $a = \pm 1$ then $p \mid a$.
Assume $p = 2$ . If $a$ is even, then $p \mid a$ and if $a$ is odd, then $(a, p) = 1$.
Suppose $p > 2$. If $a$ is even, then $(a, p) = 1$ since $2$ is the only even prime integer. Suppose $a$ is odd. Then $a$ is either prime or not. If $a$ is prime, then $(a, p) = 1$. If $a$ is not prime, then $a$ is either positive/negative multiple of $p$ or not. If it's the former $p \mid a$, otherwise $(a, p) = 1$.
How can I improve it?