Well, he starts by constructing p_{n_1} similarly, and defines \delta=d(q, p_{n_1}). Then he proceeds by induction: have having constructed p_{n_1}, \ldots, p_{n_{i-1}}, he constructs p_{n_i} so that n_i>n_{i-1}, d(q, p_{n_i})<2^{-i}\delta. My main point of confusion I guess, was that I wasn't...