Alternatively, you can use a geometric argument.
If Z and W have the same modulus, then it means the vectors Z, W, Z+W and Z-W will draw out a rhombus (the moduli are equal, so equal length sides ie: rhombus).
However one property of the rhombus is that the diagonals are perpendicular.
Furthermore, the diagonals are the equivalent of the vectors Z+W (the long one) and Z-W (the short one).
Hence, (z+w)/(z-w) will give us some sort of 90-degree rotation (rotation can go in either direction, it doesn't matter).
But 90 degree rotation is the same as multiplying one vector by cis90 or cis(-90), both of which are purely imaginary results. We can ignore any scalars since it doesn't change the fact that they're imaginary.
Hence (z+w)/(z-w) is purely imaginary.
This is just a bit of a quick explanation to let you know that a geometric argument exists. I can explain further if needed.