Actually we can prove a little bit stronger result:
Proposition: Every locally finite space is quasi-sober.
(A quasi-sober space is a topological space such that every irreducible closed subset is the closure of at least one point)
Then the original statement follows from this proposition, “Finite $\Rightarrow$ Locally finite” (obvious) and “Quasi-sober + $T_0$ $\Rightarrow$ sober” (Different points have different closures in $T_0$).
The proof only needs a slightly modification from @Eric Wofsey's answer:
Proof: Let $A \subseteq X$ be a nonempty irreducible closed subset, then $A$ is also locally finite, i.e., each point in $A$ has a finite neighborhood. Hence, there exists a minimal (finite nonempty) open set $U \subseteq A$.
Let $V \subseteq A$ be another nonempty open set, then $U \cap V \neq \varnothing$ by irreducibility and $U \cap V$ can't be proper in $U$ by minimality.
Therefore every nonempty open set contains $U$ and therefore $A$ is the closure of every point in $U$.