It can be quite simple: let $c=\max\{|a|,|b|\}$ so that
$$
|a+b|\leq |a|+|b|\leq 2c\implies |a+b|^p\leq (2c)^p=2^p(c^p)\leq 2^p(|a|^p+|b|^p).
$$
In fact, you only need $p\geq 0$.
Edit: As Winther indicates elsewhere in this thread, $p\geq 1$ gives you a stronger result. I'll give a proof using the convexity of a different function than one he suggests. Let $g(x)=x^p$ defined on $[0,\infty)$ and $m=|a|$ and $n=|b|$. We would like to prove $|a+b|^p\leq 2^{p-1}(|a|^p+|b|^p)$. By the triangle inequality above, it suffices to show
\begin{align*}
(m+n)^p\leq 2^{p-1}(m^p+n^p)&\iff\left(\frac{1}{2}m+\frac{1}{2}n\right)^p\leq\frac{1}{2}m^p+\frac{1}{2}n^p\\
&\iff g\left(\frac{1}{2}m+\frac{1}{2}n\right)\leq\frac{1}{2}g(m)+\frac{1}{2}g(n)
\end{align*}
which is true due to the convexity of $g$. It is here that we need $p\geq 1$.