While this follows from standard properties of the center and quotients, it's also easy to argue directly that your suggested map is an isomorphism. A benefit is that the implicit isomorphism becomes entirely explicit.
Via projections: One way to organize the argument is to first verify the following, each of which is simple:
- $\sigma_{g_1} \circ \sigma_{g_2} = \sigma_{g_1 g_2}$
- $\sigma_{(g,h)} = \sigma_g \times \sigma_h$
- $\alpha \times \beta = \alpha' \times \beta'$ iff $\alpha = \alpha', \beta = \beta'$ (when the domains are non-empty)
Your suggested map is $\sigma_{(g, h)} \mapsto (\sigma_g, \sigma_h)$. Verify it's a well-defined bijection as follows:
\begin{align*}
\sigma_{(g, h)} = \sigma_{(g', h')}
&\Leftrightarrow \sigma_g \times \sigma_h = \sigma_{g'} \times \sigma_{h'} \\
&\Leftrightarrow \sigma_g = \sigma_{g'}, \sigma_h = \sigma_{h'} \\
&\Leftrightarrow (\sigma_g, \sigma_h) = (\sigma_{g'}, \sigma_{h'}).
\end{align*}
It's also a homomorphism, hence isomorphism:
\begin{align*}
\sigma_{(g_1, h_1)} \circ \sigma_{(g_2, h_2)}
&= \sigma_{(g_1 g_2, h_1 h_2)} \\
&\mapsto (\sigma_{g_1 g_2}, \sigma_{h_1 h_2}) \\
&= (\sigma_{g_1} \circ \sigma_{g_2}, \sigma_{h_1} \circ \sigma_{h_2}) \\
&= (\sigma_{g_1}, \sigma_{h_1}) \circ (\sigma_{g_2}, \sigma_{h_2}).
\end{align*}
Via centers: If you don't like products of maps, you can use centers instead:
- $\sigma_g = \sigma_{g'}$ iff $g^{-1}g' \in Z(G)$
- $(g, h) \in Z(G \times H)$ iff $g \in Z(G), h \in Z(H)$.
Well-defined bijection:
\begin{align*}
\sigma_{(g, h)} = \sigma_{(g', h')}
&\Leftrightarrow (g, h)(g, h)^{-1} = (gg^{-1}, hh^{-1}) \in Z(G \times H) \\
&\Leftrightarrow gg^{-1} \in Z(G), hh^{-1} \in Z(H) \\
&\Leftrightarrow \sigma_g = \sigma_{g'}, \sigma_h = \sigma_{h'} \\
&\Leftrightarrow (\sigma_g, \sigma_h) = (\sigma_{g'}, \sigma_{h'}).
\end{align*}
(The homomorphism verification is the same.)