[step:Verify that the projection is convex and the fibres are measurable compact sets]
Define the coordinate projection map
\begin{align*}
\pi: K &\to \mathbb{R}^n \\
(x,y) &\mapsto x,
\end{align*}
and let $P := \pi(K)$ denote the projection of $K$ onto $\mathbb{R}^n$. For each $x \in \mathbb{R}^n$, define the fibre $K_x \subset \mathbb{R}^m$ as in the theorem statement.
We first prove that $K_x$ is compact. Since $K$ is a convex body, $K$ is compact in $\mathbb{R}^{n+m}$, hence closed and bounded. If $K_x = \varnothing$, then $K_x$ is compact. If $K_x \neq \varnothing$, boundedness follows from boundedness of $K$: there exists $R > 0$ such that $K \subset \overline{B}(0,R) \subset \mathbb{R}^{n+m}$, and therefore $|y| \leq R$ for every $y \in K_x$. To prove closedness, let $(y_j)_{j=1}^{\infty}$ be a sequence in $K_x$ converging to $y \in \mathbb{R}^m$. Then $(x,y_j) \in K$ for every $j$, and $(x,y_j) \to (x,y)$ in $\mathbb{R}^{n+m}$. Since $K$ is closed, $(x,y) \in K$, so $y \in K_x$. Thus $K_x$ is closed and bounded in $\mathbb{R}^m$, and the [Heine-Borel Theorem](/theorems/???) implies that $K_x$ is compact.
Convexity follows because if $y_0,y_1 \in K_x$ and $s \in [0,1]$, then $(x,y_0),(x,y_1) \in K$, so
\begin{align*}
(1-s)(x,y_0)+s(x,y_1) = (x,(1-s)y_0+sy_1) \in K,
\end{align*}
which gives $(1-s)y_0+sy_1 \in K_x$.
Since compact subsets of $\mathbb{R}^m$ are Borel measurable, $\mathcal{L}^m(K_x)$ is well-defined for every $x \in \mathbb{R}^n$. The projection $P$ is convex: if $x_0,x_1 \in P$, choose $y_0 \in K_{x_0}$ and $y_1 \in K_{x_1}$. For $t \in [0,1]$, convexity of $K$ gives
\begin{align*}
(1-t)(x_0,y_0)+t(x_1,y_1)
=
((1-t)x_0+tx_1,(1-t)y_0+ty_1)
\in K,
\end{align*}
so $(1-t)x_0+tx_1 \in P$.
[/step]