If the underlying field is complex, the statement is false. Take $X=\Bbb C$ and $x=1, y=i$. Then, $$
\sup_{\|f\|_{X^*}\le 1}|f(x)|+|f(y)|=2,\quad \ \ \ \max_{\epsilon_n\in \{-1,1\}^2}\|\epsilon_1x+\epsilon_2y\|=\sqrt2.
$$
However, in real case, the equality holds.
$(\ge)$ For each choice of $\epsilon_n\in \{\pm 1\}^n$, we have
$$
\left\|\sum_n \epsilon_nx_n\right\| = \sup_{\|f\|_{X^*}\le 1}\left|f\left(\sum_n \epsilon_nx_n\right)\right|\le\sup_{\|f\|_{X^*}\le 1} \sum_n |f(x_n)|.
$$ by Hahn-Banach theorem, i.e. $\|x\| = \sup_{\|f\|_{X^*}\le 1}|f(x)|$. This shows $ \max\limits_{\epsilon_n\in\{\pm 1\}^n}\left\|\sum_n \epsilon_nx_n\right\|\le \sup\limits_{\|f\|_{X^*}\le 1}\sum_n |f(x_n)|.$ Note that $\ge$ is also true on the complex field.
$(\le)$ We have for each $\|f\|_{X^*}\le 1$, that
$$\begin{align*}
\sum_n |f(x_n)| &= \sum_n f(x_n)\cdot \text{sgn}(f(x_n))\\&=f\left(\sum_n \text{sgn}(f(x_n))\cdot x_n\right)\\&\le \left\|\sum_n \text{sgn}(f(x_n))\cdot x_n\right\|\\&\le \max_{\epsilon_n\in \{\pm 1\}^n}\left\|\sum_n \epsilon_nx_n\right\|.
\end{align*}$$ Thus we obtain $\sup\limits_{\|f\|_{X^*}\le 1}\sum_n |f(x_n)|\le \max\limits_{\epsilon_n\in\{\pm 1\}^n}\left\|\sum_n \epsilon_nx_n\right\|$.