We know that
- $A\subseteq B$ implies $\sigma(A)\subseteq\sigma(B)$
- $\sigma(\sigma(A))=\sigma(A)$.
(These two properties are easy to prove - if you have not seen them in your lecture, you should try to find a proof.)
What do you get if you apply this to $E\cup F\subseteq \sigma(E)\cup\sigma(F)$? What do you get if you apply this to $\sigma(E)\cup\sigma(F) \subseteq \sigma(E\cup F)$? Can you show $\sigma(E)\cup\sigma(F) \subseteq \sigma(E\cup F)$ using these two properties?
For the first part (counterexample) try to think what happens if you divide $X$ into two disjoint parts and you choose sets in $E$ from one of them and sets in $F$ from the other one.