[step:Part (3): Approximate convex combinations using a finite $\varepsilon/2$-net]Let $A \subset X$ be totally bounded. Fix $\varepsilon > 0$. By total boundedness, there exists a finite set $F = \{a_1, \ldots, a_N\} \subset X$ with $A \subset \bigcup_{i=1}^N B(a_i, \varepsilon/2)$.
Every element of $\operatorname{conv}(A)$ has the form $\sum_{k=1}^m \lambda_k x_k$ for some $m \in \mathbb{N}$, $x_1, \ldots, x_m \in A$, and $\lambda_1, \ldots, \lambda_m \ge 0$ with $\sum_{k=1}^m \lambda_k = 1$. For each $x_k$, choose $a_{i_k} \in F$ with $\|x_k - a_{i_k}\| < \varepsilon/2$. Then
\begin{align*}
\left\|\sum_{k=1}^m \lambda_k x_k - \sum_{k=1}^m \lambda_k a_{i_k}\right\| = \left\|\sum_{k=1}^m \lambda_k(x_k - a_{i_k})\right\| \le \sum_{k=1}^m \lambda_k \|x_k - a_{i_k}\| < \sum_{k=1}^m \lambda_k \cdot \frac{\varepsilon}{2} = \frac{\varepsilon}{2}.
\end{align*}
The point $\sum_{k=1}^m \lambda_k a_{i_k}$ is a convex combination of elements of $F$, so it lies in $\operatorname{conv}(F)$. Since $F$ is finite, $\operatorname{conv}(F)$ is a convex hull of finitely many points in $\mathbb{R}^N$-many dimensions, and is contained in the affine hull of $F$, which has dimension at most $N - 1$.
We now cover $\operatorname{conv}(F)$. The set $\operatorname{conv}(F)$ is a compact subset of the finite-dimensional affine subspace $\operatorname{aff}(F)$ (as a continuous image of the compact simplex $\Delta_{N-1} = \{(\mu_1, \ldots, \mu_N) \in \mathbb{R}^N : \mu_i \ge 0, \, \sum \mu_i = 1\}$ under the map $\mu \mapsto \sum_{i=1}^N \mu_i a_i$). In particular, $\operatorname{conv}(F)$ is totally bounded: there exists a finite set $G \subset X$ with $\operatorname{conv}(F) \subset \bigcup_{g \in G} B(g, \varepsilon/2)$.
For any $v = \sum_{k=1}^m \lambda_k x_k \in \operatorname{conv}(A)$, the point $w = \sum_{k=1}^m \lambda_k a_{i_k} \in \operatorname{conv}(F)$ satisfies $\|v - w\| < \varepsilon/2$, and there exists $g \in G$ with $\|w - g\| < \varepsilon/2$. By the triangle inequality,
\begin{align*}
\|v - g\| \le \|v - w\| + \|w - g\| < \frac{\varepsilon}{2} + \frac{\varepsilon}{2} = \varepsilon.
\end{align*}
Therefore $G$ is a finite $\varepsilon$-net for $\operatorname{conv}(A)$.[/step]