There is a lot of evidence suggesting this theory to be true, but we don't know for sure yet. It will likely be revealed as a twist in the final episode. Edit: Yep.
One of the main pieces of evidence is from episode 8, when
Dolores is remembering walking through the old, buried town with the white church. She sees Wyatt's massacre firsthand, the event we've already seen in Teddy's memories. At the end, the memory Dolores puts her gun to her head and smiles. As the Dolores who is with William remembers this, she also relives it, putting her own gun to her head. Another piece of evidence reinforcing this is their guns.
We already know from episode 8 that when hosts remember memories, they also relive them, because they have perfect recollection. They can't separate memory from reality. This is also shown and reinforced when Maeve
cuts new-Clementine's throat while she "relives" the memory of meeting and trying to kill the Man in Black.
There are also storytelling misdirections and clues that suggest the theory to be true.
If the multiple timeframes theory is correct, ie. that William is a younger Man in Black (which seems all but confirmed in episode 9), then we haven't actually seen Dolores for a while in the "present" timeframe where Teddy and the Man in Black have been travelling together. We don't notice it because we see the two timeframes intertwined on screen.
it makes sense from a storytelling perspective that Wyatt, the mysterious person who we've never met but only seen in Teddy's manufactured and falsified memories (Ford recently implanted the Wyatt storyline in Teddy's mind, and he's also a newer host, unlike Dolores, so he can't have been at Wyatt's massacre if it actually did take place 35 years ago in the earlier timeframe), is a person we've already met.
There are more pieces of evidence too. Here's a great rundown on reddit (it's from before episode 9, which only added new pieces of evidence, and didn't contradict any of the earlier ones).