Claim #1: $D_{H}(A,B)=\sup_{a\in A,b\in B}|a-b|$
Proof of Claim #1: Pick any $x\in A$ and $y \in B$. Then $$\inf_{a\in A,b\in B}|a-b|\leq |x-y| \leq \sup_{a\in A,b\in B}|a-b|$$ This implies $$\inf_{a\in A,b\in B}|a-b| \leq \sup_{a\in A,b\in B}|a-b|$$ and so $$D_{H}(A,B)=\sup_{a\in A,b\in B}|a-b|$$
Claim #2: For any fixed $c\in C$ we have $$\sup_{a\in A,b\in B}|a-b| \leq \sup_{a\in A}|a-c| + \sup_{b\in B}|b-c|$$
Proof of Claim #2: Choose any $x\in A$ and $y\in B$. Then $$|x-y|\leq |x-c|+|y-c|\leq \sup_{a\in A,b\in B}\Big[ |a-c|+|b-c|\Big] $$This shows $\sup_{a\in A,b\in B} \Big[ |a-c|+|b-c|\Big]$ is an upper bound of the set $$\Big\{|x-y|:x\in A,y\in B\Big\}$$ so by the definition of $\sup$ we get $$\sup_{a\in A,b\in B}|a-b| \leq \sup_{a\in A,b\in B}\Big[ |a-c|+|b-c|\Big]$$ and using this we have $$ \sup_{a\in A,b\in B}\Big[ |a-c|+|b-c|\Big]=\sup_{a\in A}|a-c| + \sup_{b\in B}|b-c|$$ So finally, $$\sup_{a\in A,b\in B}|a-b| \leq \sup_{a\in A}|a-c| + \sup_{b\in B}|b-c|$$
Claim #3: For any fixed $c\in C$ we have $$\sup_{a\in A}|a-c|\leq \sup_{a\in A,z\in C}|a-z|$$ $$\sup_{b\in B}|b-c| \leq \sup_{b\in B,z\in C}|b-z|$$
Proof of Claim #3: Choose $x\in A$ arbitrarily. Then $$|x-c|\leq \sup_{a\in A,z\in C}|a-z|$$ This shows $\sup_{a\in A,z\in C}|a-z|$ is an upper bound of the set $$\Big\{|x-c|:x\in A\Big\}$$ so using definition of $\sup$ we have $$\sup_{a\in A}|a-c|\leq \sup_{a\in A,z\in C}|a-z|$$ An identical argument also proves $$\sup_{b\in B}|b-c| \leq \sup_{b\in B,z\in C}|b-z|$$
Claim #4: $D_{H}(A,B)\leq D_H(A,C)+D_H(B,C)$
Proof of Claim #4: Combine all three previous claims to get the result.