A function f(n) is Big-Oh of a function g(n), written f(n) = O(g(n)), if there exist a positive constant c and a natural number n0 such that for n > n0, f(n) <= c * g(n). A function f(n) is Big-Omega of g(n), written f(n) = Omega(g(n)), if and only if g(n) = O(f(n)). A function f(n) is Theta of a function g(n), written f(n) = Theta(g(n)), if and only if f(n) = O(g(n)) and f(n) = Omega(g(n)).
To prove any of the free, you do it by showing some function(s) are Big-Oh of some other functions. To show that one function is Big-Oh of another is a difficult problem in the general case. Any form of mathematical proof may be helpful. Induction proofs in conjunction with intuition for the base cases are not uncommon. Basically, guess at values for c and n0 and see if they work. Other options involve choosing one of the two and working out a reasonable value for another.
Note that a function may not be Big-Theta of any other function, if its tightest bounds from above and below are functions with different asymptotic rates of growth. However, I think it's usually a safe bet that most functions are going to be Big-Oh of something reasonably uncomplicated, and all functions typically looked at from this perspective are at least constant-time in the best case - Omega(1).