Very helpful link, thank you!
The sequence $\{y_n\}$ is by no means arbitrary. It satisfies a very particular condition. It's not an iterative sequence, because $y_{n+1}\not\equiv T y_n$. However, the condition that the sequence satisfies ensures that $y_{n+1}$ is getting "closer and closer" - in the modular sense - to the quantity $Ty_n$ as $n\to\infty$. That's what
$$w_{\lambda}(y_{n+1},Ty_n)\le \varepsilon_n$$
guarantees.
To answer the question in the OP, there is a triangle inequality invoked in the proof of Theorem 3.3. It's used in the third line down from the word "Proof", where you have
$$w_{\frac{\lambda\cdot m}{m}}(T^{m+1}x,y_{m+1}) \le
w_{\frac{\lambda(m-1)}{m}}(T^{m+1}x,Ty_m)+w_{\frac{\lambda}{m}}(Ty_m,Ty_{m+1}).$$