If $f,g \geq 0$, then $\frac{1}{2}(f+g) \leq \max(f,g) \leq (f+g)$. Rearranging gives $ \max(f,g) \leq (f+g) \leq 2 \max(f,g)$.
It follows that $\Theta(f+g) = \Theta(\max(f,g))$.
Addendum: When we write $a \in \Theta(b)$, it means that there exists $\underline{k}, \overline{k} >0$, and $N$ such that if $n\geq N$, then $\underline{k} b(n) \leq a(n) \leq \overline{k} b(n)$. Note that if $a \in \Theta(b)$, then $\frac{1}{\overline{k}} a(n) \leq b(n) \leq \frac{1}{\underline{k}} a(n)$, and so $b \in \Theta(a)$, hence it is an equivalence relation.
The above shows that if we choose $\underline{k} = \frac{1}{2}$, $\overline{k} = 1, N=1$, then $\underline{k}(f(n)+g(n)) \leq \max(f(n),g(n)) \leq \overline{k}(f(n)+g(n))$, and hence $n \mapsto \max(f(n),g(n)) \in \Theta(n \mapsto f(n)+g(n))$, or, more colloquially,
$\max(f,g) \in \Theta(f+g)$, and by the above remark, we also have $f+g \in \Theta(\max(f,g))$.
=sign. Are we saying that the two sets are equivalent? This is where I seem to be having trouble. I understand what you are saying about max<f+g<2max, but I don't see how this proves that the two sets are equal. – MrZander Jan 31 '13 at 18:24