I am not sure what exactly is meant by a categorical proof but here is my best approximation.
If $G$ is a group let $BG$ be the category of right $G$-sets. It is well known that $G\cong H$ if and only if $BG$ and $BH$ are equivalent categories.
Now if $F_X$ is a free group on $X$ then $BF_X$ is the category whose objects are sets $Y$ together with an $X$-tuple of permutations of $Y$ where we have permutations act on the right.
Let $H$ be a subgroup of $F_X$. Choose a Schreier transversal $T$ for $F_X/H$ (this is the non -categorical part). Let $B$ be the set of nonidentity elements of $H$ of the form $txu^{-1}$ with $t\in T$, $x\in X$ and $u\in T$ the representative of $Htx$.
One needs to show that $BH$ is equivalent to the category of sets with a $B$-tuple of permutations. Given an $H$-set $Y$ you get an obvious $B$-tuple by forgetting the action of the other elements of $H$. To go other way recall that there is a functor $BH\to BF_X$ given by $Y\mapsto Y\otimes_H F_X$. Moreover, using the transversal $T$ it is easy to see that the action of elements of $X$ on this tensor product are determined precisely by the action of $B$ on $Y$. Thus if you have a $B$-tuple of permutations of $Y$ you can define an $X$-tuple of permutations of $Y\times F_X/H$ and hence an action of $F_X$ on $Y\times F_X/H$ which restricts on $Y\times \{H\}$ to an action of $H$ extending the original action of $B$. This proves $H$ is free on $B$. Schreier transversals are needed to recover the original action.
A nuts and bolts version of this argument without categorical language can be found in http://arxiv.org/abs/1006.3833