(1)证明:$\because$四边形$ABCD$是正方形,
$\therefore \angle D=\angle A = 90^{\circ}.$
$\because$四边形$EFGH$是菱形,$\therefore HG = HE.$
$\because DG = AH = 2,$$\therefore \text{Rt}\triangle HDG\cong\text{Rt}\triangle EAH(\text{HL}).$
$\therefore \angle DHG=\angle AEH.$$\therefore \angle DHG+\angle AHE = 90^{\circ}.$
$\therefore \angle GHE = 90^{\circ}.$$\therefore$菱形$EFGH$为正方形.
(2)解:如答图,过点$F$作$FM\perp CD,$交$DC$的延长线于点$M,$连接$GE.$
$\because$四边形$ABCD$是正方形,$\therefore \angle A = 90^{\circ},$$CD// AB.$
$\therefore \angle AEG=\angle MGE.$
$\because$四边形$EFGH$是菱形,$\therefore HE// GF,$$HE = GF.$
$\therefore \angle HEG=\angle FGE.$$\therefore \angle HEA=\angle FGM.$
$\because FM\perp CD,$$\therefore \angle M = 90^{\circ}.$$\therefore \angle M=\angle A.$
在$\triangle AEH$和$\triangle MGF$中,
$\begin{cases}\angle A=\angle M,\\\angle AEH=\angle MGF,\\HE = FG,\end{cases}$
$\therefore \triangle AEH\cong\triangle MGF(\text{AAS}).$$\therefore FM = AH = 2.$
$\therefore S_{\triangle FCG}=\frac{1}{2}CG\cdot FM = 1.$
$\therefore CG = 1.$$\therefore DG = DC - CG = 6 - 1 = 5.$