Segovia Day Trip Plans

That plan sounds fine. I don't know how often the AV trains sell out, but it's possible. Booking ahead can save a bit of money for the train to Segova, may be as low as 9-12 euros each way, versus 24 on the day. Try booking as a roundtrip ticket, which may include an additional discount through www.renfe.es (and follow "Welcome"). You don't have to do it today - many departures are not yet for sale or don't have the discount fares published yet for October travel.

I've not tried to buy tickets at Chamartin Station in Madrid, but I can tell you that Atocha can have frustratingly long lines at ticket counters, so I think it's a great idea to get the ticket ahead of time, whether online or in person. The ticket-vending machines reportedly don't like US chip-and-signature credit cards, but the machines take currency up to 20 euros, and they have an English-language option.

You will certainly save money if you are in a position to buy a train-specific ticket shortly after they go on sale, as Laura said.

I will also be doing this day trip in a few weeks. I'm afraid of buying a RT train ticket in fear of not knowing exactly when to head back to Madrid. Should I just buy an open ended ticket and hope that there are still seats available on the train back when we're done with Segovia? I know the bus is another option as well.

Yes, the bus works or the slower, unreserved Cercanias train (from a different station in Segovia) is still another back-up option, so I wouldn't book reserved tickets before you feel ready. You might still get a roundtrip discount (20%, if I remember correctly) by showing your original ticket at a staffed ticket window.