As TMS mentioned, if you play around with the Pauli matrix properties and the double-angle trig formulae, you should get a nice result. (Of course, what "nice" means may depend on what you're going to use it for.)
I find it useful, however, to step back and give the geometrical nature of the object you're dealing with take the reins. How would I do this? It's often the particulars of the formulation that bog you down and it's best to generalize the setting a bit. Thus, in particular, consider the frame-of-reference-free expression
$$
e^{-i\vec{\sigma}\cdot\hat{n}\theta/2} \, \vec{a}\cdot\vec{\sigma} \, e^{i\vec{\sigma}\cdot\hat{n}\theta/2}
$$
where $\hat{n}\cdot\hat{n}=1$. You need to apply the identity you mention and the property that
$$
(\vec{a}\cdot\vec{\sigma})(\hat{n}\cdot\vec{\sigma})=\vec{a}\cdot\hat{n}+i\vec{\sigma}\cdot(\vec{a}\times\hat{n}),
$$
as well as double-angle formulae and a triple vector product (i.e. nothing intimidating).
It's definitely a worthwhile exercise to work through that; the result is
$$
e^{-i\vec{\sigma}\cdot\hat{n}\theta/2} \, \vec{a}\cdot\vec{\sigma} \, e^{i\vec{\sigma}\cdot\hat{n}\theta/2}
=
\left[ \cos(\theta)\vec{a}+\sin(\theta)\hat{n}\times\vec{a} \right]\cdot\vec{\sigma}.
$$
Here the vector in square brackets is the rotated one: $\vec{a}$ rotated by angle $\theta$ around unit $\hat{n}$.
I'm not sure what kind of a shortcut you're looking for or whether this is useful in that sense. I just want to say that sometimes stepping back to a greater generality can ease the computational burden, or at least make clearer what's going on.