ok I think I got it the normal way
the derivative of $g(x)$ is $\frac{x}{\sqrt{x^+2}}$, which is always smaller than 1. Then using the mean value theorem, we have
$\frac{g(b)-g(a)}{b-a}=\frac{x}{\sqrt{x^+2}}<1$, which proves what I wanted to show, right? $|g(b)-g(a)|<|b-a|$