I was hoping that someone could verify that my proof is correct. Okay, here we go.
$$max(g(n), f(n)) \le 1(g(x) + f(x)) \text{ for all x > 0} $$ $$\text{Let A = 1 and }n_0 = 1$$ $$max(g(n), f(n)) \le A(g(x) + f(x)) \text{ for all n >=}n_0 $$ by definition of Big O notation, we have shown that $$ max(g(n),f(n))~=~O(f(n)+g(n))$$ and therefore $$O(max(g(n),f(n))~\subseteq~O(f(n) + g(n))$$