Considering a triangle with rigth angle at the central intersection
Consider the following diagram, where the bottom two vertices of the triangle are at the centres of the circles. The angle at the centre is $90^\text{o}$ because the diagram is symmetrical, so $4$ triangles like this could be drawn.
We can use pythagoras on this triangle, whose hypotenuse is $1+r$ and other sides both have length $1$: $$\begin{align}&1^2+1^2=(1+r)^2\\
\Rightarrow&2=(1+r)^2\\
\Rightarrow&\pm\sqrt{2}=1+r\\
\Rightarrow&\pm\sqrt{2}-1=r\end{align}$$
Since $r>0$, must have $r=\sqrt{2} -1$.
Considering a triangle with rigth angle at the centre of one of the annuli
Label the centres of the circles as $P$,$Q$,$R$ and $S$, and call the radius of the smaller circle $r$. Connect up the centres of the circles to form a triangle:
Length $PQ = QR = 1+r$ as they are both the length of the radius of the larger circle plus the radius of the smaller circle. Length $PR$ is equal to two radii of the larger circle (from $P$ to the centre of the image and then to $R$) thus $PR=1+1=2$.
We know that angle $PQR$ is a right angle since it is the corner of a square, so we can use Pythagoras on triangle $PQR$.
We get that $$\begin{align}PQ^2 + QR^2 = PR^2 \Rightarrow &(1+r)^2 + (1+r)^2 = 2^2
\\\Rightarrow&2(1+r)^2 = 4
\\\Rightarrow &(1+r)^2 = 2
\\\Rightarrow &(1+r) = \pm \sqrt{2}
\\\Rightarrow &r = \pm \sqrt{2} -1\end{align}$$
Since $r>0$, must have $r=\sqrt{2} -1$.