解:
(1) 证明:$\because$ 四边形$ABCD$是正方形,$\therefore AC⊥ BD,$
$\therefore ∠ BOE=90°。$
$\because FH⊥ AC,$$\therefore ∠ EHF=90°=∠ BOE。$
由旋转的性质得$BE=EF,$$∠ BEF=90°,$
$\therefore ∠ BEO+∠ HEF=90°,$
又$\because ∠ BEO+∠ OBE=90°,$
$\therefore ∠ OBE=∠ HEF。$
在$△ OBE$和$△ HEF$中,
$\begin{cases} ∠ BOE=∠ EHF, \\ ∠ OBE=∠ HEF, \\ BE=EF, \end{cases}$
$\therefore △ OBE≌△ HEF。$
(2) $\because$ 四边形$ABCD$是正方形,$AB=2,$
$\therefore OA=OC=\sqrt{2},$$∠ ACD=45°。$
$\because △ OBE≌△ HEF,$$\therefore OE=HF=x。$
$\because ∠ FHC=90°,$$∠ HCF=45°,$
$\therefore △ HCF$是等腰直角三角形,
$\therefore HF=CH=x,$
$\therefore CF=\sqrt{HF^2+CH^2}=\sqrt{2}x。$
$\therefore OE^2 - CF = x^2 - \sqrt{2}x = (x-\frac{\sqrt{2}}{2})^2 - \frac{1}{2}。$
$\because$ 点$E$在线段$AO$上(与端点不重合),$OA=\sqrt{2},$
$\therefore 0<x<\sqrt{2},$
$\therefore$ 当$x=\frac{\sqrt{2}}{2}$时,$OE^2 - CF$取得最小值,为$-\frac{1}{2}。$