Your proof is invalid. By saying "let α = sup X", there are two things wrong there:
(1) You're already assuming that X is bounded above, and you're trying to prove that X is bounded.
(2) sup X (and bounded above) only makes sense if X is a subset of \mathbb{R} (or some other ordered set with the least upper bound property)!
Additionally, limit points have little to do with boundedness. (What does "α is a limit point of X which contain all limit points" even mean?)
Remember the definition of compactness. The simplest way to solve that problem is to use the definition of compactness directly; the idea is to find an open cover of X such that each set in the cover is bounded. By compactness, finitely many of these sets cover X, and you have to argue that the union of finitely many bounded sets is bounded.
As a specific example, I denote B(x; 1) to mean the ball of radius 1 centered at x (that is; B(x; 1) = \{y \in \mathbb{R}^n \mid \lvert x - y \rvert < 1); these balls are open sets (by the definition of the topology induced by a metric space). My open cover will be \mathcal{O} = \{B(x; 1) \mid x \in X\}; it's easy to verify that \mathcal{O} covers X. By compactness, there is a finite subcover \mathcal{F} \subseteq \mathcal{O}. Since I picked each set in \mathcal{O} to be bounded, X \subseteq \bigcup \mathcal{F} is bounded.