Step 1: Put a suitable substitution.
Let
\[
u=x+\sqrt{x^2+2}.
\]
Then,
\[
u-x=\sqrt{x^2+2}.
\]
Squaring both sides,
\[
(u-x)^2=x^2+2.
\]
\[
u^2-2ux+x^2=x^2+2.
\]
So,
\[
u^2-2ux=2.
\]
\[
2ux=u^2-2.
\]
Hence,
\[
x=\frac{u^2-2}{2u}.
\]
This can be written as
\[
x=\frac{1}{2}\left(u-\frac{2}{u}\right).
\]
Step 2: Differentiate with respect to \(u\).
Differentiating,
\[
\frac{dx}{du}
=
\frac{1}{2}\left(1+\frac{2}{u^2}\right).
\]
Therefore,
\[
dx=\frac{1}{2}\left(1+\frac{2}{u^2}\right)du.
\]
Step 3: Transform the integral.
Since
\[
u=x+\sqrt{x^2+2},
\]
we have
\[
\sqrt{x+\sqrt{x^2+2}}=\sqrt{u}=u^{\frac{1}{2}}.
\]
Thus,
\[
\int \sqrt{x+\sqrt{x^2+2}}\,dx
=
\int u^{\frac{1}{2}}\cdot \frac{1}{2}\left(1+\frac{2}{u^2}\right)du.
\]
\[
=
\int \left(\frac{1}{2}u^{\frac{1}{2}}+u^{-\frac{3}{2}}\right)du.
\]
Step 4: Integrate term by term.
Now,
\[
\int \frac{1}{2}u^{\frac{1}{2}}\,du
=
\frac{1}{2}\cdot \frac{u^{\frac{3}{2}}}{\frac{3}{2}}
=
\frac{1}{3}u^{\frac{3}{2}}.
\]
Also,
\[
\int u^{-\frac{3}{2}}\,du
=
\frac{u^{-\frac{1}{2}}}{-\frac{1}{2}}
=
-2u^{-\frac{1}{2}}.
\]
Therefore,
\[
\int \sqrt{x+\sqrt{x^2+2}}\,dx
=
\frac{1}{3}u^{\frac{3}{2}}-2u^{-\frac{1}{2}}+C.
\]
Step 5: Convert into the option form.
Taking \(u^{-\frac{1}{2}}\) common,
\[
\frac{1}{3}u^{\frac{3}{2}}-2u^{-\frac{1}{2}}
=
\frac{u^2-6}{3\sqrt{u}}.
\]
Since
\[
u=x+\sqrt{x^2+2},
\]
we get
\[
\frac{u^2-6}{3\sqrt{u}}
=
\frac{\left(x+\sqrt{x^2+2}\right)^2-6}
{3\sqrt{x+\sqrt{x^2+2}}}.
\]
Step 6: Final conclusion.
Hence,
\[
\boxed{
\int \sqrt{x+\sqrt{x^2+2}}\,dx
=
\frac{\left(x+\sqrt{x^2+2}\right)^2-6}
{3\sqrt{x+\sqrt{x^2+2}}}+C
}
\]