You can evaluate them on states with definite particle number. Let $|k\rangle$ be a state such that $n|k\rangle=k|k\rangle$. Then
\begin{eqnarray*} \mathrm e^{\mathrm i \alpha n(n-1)}a^\dagger\mathrm e^{-\mathrm i \alpha n(n-1)}|k\rangle &=& \mathrm e^{\mathrm i \alpha n(n-1)}a^\dagger\mathrm e^{-\mathrm i \alpha k(k-1)}|k\rangle \\\ &=& \mathrm e^{\mathrm i \alpha (k+1)k}a^\dagger\mathrm e^{-\mathrm i \alpha k(k-1)}|k\rangle \\\ &=& \mathrm e^{2\mathrm i \alpha k}a^\dagger|k\rangle \\\ &=& a^\dagger\mathrm e^{2\mathrm i \alpha n}|k\rangle\;. \end{eqnarray*}
Since $|k\rangle$ was arbitrary and the states with definite particle number span the state space, this implies
$$ \mathrm e^{\mathrm i \alpha n(n-1)}a^\dagger\mathrm e^{-\mathrm i \alpha n(n-1)}=a^\dagger\mathrm e^{2\mathrm i \alpha n}\;. $$
Analogously, you can obtain
$$ \mathrm e^{\mathrm i \alpha n(n-1)}a\mathrm e^{-\mathrm i \alpha n(n-1)}=a\mathrm e^{-2\mathrm i \alpha(n-1)}\;. $$