stochastic processes – Show process is martingale with two standard BMs

How can I show that the process $ Xt = log ( sqrt (Bt ^ 2 + Wt ^ 2)) $ is a Martingale, knowing that Bt and Wt are two independent standard Browninans movements?
I imagine that we must use the lemma of Itô to show the condition of integrability, but I do not understand it.