Actually we have stronger results, that $f$ is not only continuous, but uniformly continuous.
Definition of continuous:
$\forall y$ in the domain of $f$, and $\forall \epsilon>0, \,\exists \delta_{y,\epsilon}$, s.t. $|f(x) - f(y)| <\epsilon$ whenever $|x - y| < \delta_{y,\epsilon}$
Definition of function uniformly continuous:
$\forall \epsilon>0, \,\exists \delta_{\epsilon}$, s.t. $|f(x) - f(y)| <\epsilon$ whenever $|x - y| < \delta_{\epsilon}$
Proof. given any $\epsilon_0 > 0$
Since $g$ is continuous, and $g(0) = 0$, we could find a $\delta_{\epsilon_0}$, s.t. $|g(x - y) - g(0)| = g(x-y)< \epsilon_0$, whenever $|x-y - 0| < \delta_{\epsilon_0}$
Thus we have $|f(x) - f(y)| < g(x-y) < \epsilon_0$, whenever $|x-y| < \delta_{\epsilon_0}$
So we find a $\delta$ for each $\epsilon$ uniformly over the domain of $f$, and thus $f$ is uniformly continuous.