Step 1: Concept
A function involving square roots is continuous where the radicands are non-negative.
Step 2: Analysis
For $\sqrt{x+2}$ to be defined: $x+2 \ge 0 \implies x \ge -2$.
For $\sqrt{x+1}$ to be defined: $x+1 \ge 0 \implies x \ge -1$.
Step 3: Conclusion
The domain is the intersection of these conditions: $x \ge -1$. Thus, the function is continuous on $[-1, \infty)$.
Final Answer: (D)