(1)解:因为$AD\perp BC,$所以$\angle ADB = 90^{\circ}。$
所以$\angle ABD + \angle BAD = 180^{\circ}-\angle ADB = 90^{\circ}。$
因为$\angle BAC = 90^{\circ},$所以$\angle BAD + \angle CAD = 90^{\circ}。$
所以$\angle ABD = \angle CAD = 36^{\circ}。$
因为$BE$平分$\angle ABC,$所以$\angle ABE = \frac{1}{2}\angle ABC = 18^{\circ}。$
所以$\angle AEF = 180^{\circ}-\angle BAC - \angle ABE = 72^{\circ}。$
(2)证明:因为$BE$平分$\angle ABC,$所以$\angle ABE = \angle CBE。$
由(1),知$\angle ABE + \angle AEF = 90^{\circ},$$\angle CBE + \angle BFD = 90^{\circ},$
所以$\angle AEF = \angle BFD。$
因为$\angle AFE = \angle BFD,$所以$\angle AEF = \angle AFE。$