The path connectedness is easy. Given $x,\, y \in \mathbb{R}^n\setminus\{0\}$, the straight line segment $t \mapsto (1-t)\cdot x + t\cdot y$ connects $x$ and $y$ in $\mathbb{R}^n\setminus\{0\}$ unless $y$ is a negative multiple of $x$. If $y = c\cdot x$ for a $c < 0$, then you can compose a path of two straight line segments, one going a little away from $x$ to $x + \varepsilon\cdot e_i$ for a small enough $\varepsilon > 0$ and $i$ such that $x$ is not a multiple of $e_i$.
It could also be easily seen from the homeomorphism
$$F\colon S^{n-1} \times (0,\,\infty) \to \mathbb{R}^n\setminus\{0\};\quad (\xi,\,r) \mapsto r\cdot \xi.$$
(A proof that $F$ is indeed a homeomorphism may be required, or that may be considered obvious, depending on what was treated previously.)
Given a closed path $\gamma \colon t \mapsto (\xi(t),\, r(t))$ in $S^{n-1}\times (0,\,\infty)$, the map $H(s,t) = (\xi(t),\, r(t)^{1-s})$ provides a homotopy to a closed path in $S^{n-1}$.
If you already know that $S^d$ is simply connected for $d \geqslant 2$, you are done now.
Otherwise, to prove that fact, consider a closed path $\gamma\colon [0,\,1] \to S^{n-1}$. If $\gamma([0,\,1]) \neq S^{n-1}$, assume without loss of generality that the north pole $N = (0,\,\ldots,\,0,\,1)$ is not on the trace of $\gamma$. Stereographic projection from the north pole gives a homeomorphism $S^{n-1}\setminus \{N\} \to R^{n-1}$ (proof may be required), and that shows that $\gamma$ is null-homotopic in $S^{n-1}\setminus \{N\}$, hence a fortiori in $S^{n-1}$.
If $\gamma$ is surjective, you can partition it into parts that each omit one of two opposing caps of the sphere.
Consider for example the two caps $T = \{x \in S^{n-1}\colon x_n \geqslant \frac23\}$, $B = \{x \in S^{n-1}\colon x_n \leqslant -\frac23\}$ and the belt $E = \{x\in S^{n-1}\colon \lvert x_n\rvert \leqslant \frac13\}$.
By uniform continuity of $\gamma$, there is a $\varepsilon > 0$ such that $\gamma(t) \in B \land \lvert s-t\rvert < \varepsilon \Rightarrow \gamma(s) \notin E \cup T$, and similar for all other combinations of $B,\,E,\,T$.
Without loss of generality, suppose that $\gamma$ starts (and ends) in the south pole.
Set $t_0 = 0$. While $t_k < 1$, find the next partition point $t_{k+1}$ in the following way:
- If $\gamma(t_k) \in B$, let $t_{k+1} = \min\bigl(\{s > t_k \colon \gamma(s) \in E\} \cup \{1\}\bigr)$.
- If $\gamma(t_k) \in E$, let $t_{k+1} = \min \{s > t_k \colon \gamma(s) \in T\cup B\}$.
- If $\gamma(t_k) \in T$, let $t_{k+1} = \min \{s > t_k \colon \gamma(s) \in E\}$.
By the uniform continuity mentioned above, $t_m = 1$ for an $m \leqslant \frac{1}{\varepsilon}$.
Let $\gamma_k$ be the restriction of $\gamma$ to $[t_k,\,t_{k+1}]$.
If $\gamma(t_{k}) \in T$, then the composition $\gamma_{k-1}\gamma_k$ is a path connecting two points $a,\, b \in E$ in $S^{n-1}\setminus B$. The latter is homeomorphic to an open ball, so $\gamma_{k-1}\gamma_k$ is homotopic to a path connecting $a$ and $b$ in $E$.
Replacing all the $\gamma_{k-1}\gamma_k$ with homotopic paths in $E$, you obtain a path homotopic to $\gamma$ whose trace omits $T$, hence by the above, it, and therefore also $\gamma$ is null-homotopic in $S^{n-1}$.