\begin{align}
\mathcal{L}(f * g)(s)&=\int_{t=0}^{\infty} e^{-s t} \left(\int_{\theta=0}^t f(t-\theta) g(\theta) d \theta\right) d t \tag1 \\
&=\iint_{0 \leq \theta \leq t<\infty} e^{-s(t-\theta)} f(t-\theta) e^{-s \theta} g(\theta) d \theta d t \tag2 \\
& =\iint_{\substack{0 \leq \theta<\infty \\
0 \leq \varphi<\infty}} e^{-s \varphi} f(\varphi) e^{-s \theta} g(\theta) d \theta d \varphi \tag3 \\
&=\mathcal{L}\{f\}(s) \mathcal{L}\{g\}(s) \tag4
\end{align}