Firstly, note that, given $\webleft (X,x_{0}\webright )\in \operatorname {\mathrm{Obj}}\webleft (\mathsf{Sets}_{*}\webright )$, the map
\[ \lambda ^{\mathsf{Sets}_{*},\rhd }_{X} \colon X \to S^{0}\rhd X \]
is indeed a morphism of pointed sets, as we have
\begin{align*} \lambda ^{\mathsf{Sets}_{*},\rhd }_{X}\webleft (x_{0}\webright ) & = 1\rhd x_{0}\\ & = 0\rhd x_{0}.\end{align*}
Next, we claim that $\lambda ^{\mathsf{Sets}_{*},\rhd }$ is a natural transformation. We need to show that, given a morphism of pointed sets
\[ f\colon \webleft (X,x_{0}\webright )\to \webleft (Y,y_{0}\webright ), \]
the diagram
commutes. Indeed, this diagram acts on elements as and hence indeed commutes, showing $\lambda ^{\mathsf{Sets}_{*},\rhd }$ to be a natural transformation. This finishes the proof.