Here is a detailed proof following your approach. In particular, showing how to handle the case $\mu(E)=+\infty$.
If $E\in L$ and $m(E) > 0$, for any $\alpha < 1$ there is an open interval $I$ such that $m(E\cap I) > \alpha m(I)$.
Let $E\in L$ with $m(E) > 0$ and suppose there exists an $\alpha\in (0,1)$ such that $m(E\cap I) \leq \alpha m(I)$ for every open interval $I$.
Case 1: Suppose $m(E) <+\infty$.
By theorem 1.18, for all $\epsilon >0$ there exists an open $U$ such that $E\subset U$ and
$$m(E) \leq m(U) \leq m(E) + \epsilon$$
Take $\epsilon <(1-\alpha)\mu(E)$.
Let $U = \bigcup_{1}^{\infty}I_j$ where $\{I_j\}_{1}^{\infty}$ are open intervals. Then $E\subset \bigcup_{1}^{\infty}I_j$ and we have
$$m(E)\leq m(U)\leq \sum_{1}^{\infty}m(I_j)\leq m(E) + \epsilon <+\infty \tag{1}$$
we also have, since the $I_j$'s may not be disjoint, that
$$m(E)\leq \sum_{1}^{\infty}m(E\cap I_j)$$
However, we have that $\mu(E\cap I) \leq \alpha\mu(I_j)$. So we have
$$m(E)\leq \alpha \sum_{1}^{\infty}m(I_j)$$
So, from $(1)$, we get
$$ m(E)\leq \sum_{1}^{\infty}m(I_j)\leq \alpha \sum_{1}^{\infty}m(I_j) + \epsilon $$
Since $\epsilon <(1-\alpha)\mu(E)$ and $ \alpha \sum_{1}^{\infty}m(I_j) <+\infty$, we have
$$ \sum_{1}^{\infty}m(I_j)\leq \alpha \sum_{1}^{\infty}m(I_j) + \epsilon< \alpha \sum_{1}^{\infty}m(I_j) +(1-\alpha)\mu(E) \leq \\ \leq \alpha \sum_{1}^{\infty}m(I_j) +(1-\alpha)\sum_{1}^{\infty}m(I_j) =\sum_{1}^{\infty}m(I_j)$$
So
$$ \sum_{1}^{\infty}m(I_j) <\sum_{1}^{\infty}m(I_j)$$
Contradiction.
Case 2. Suppose $\mu(E)=+\infty$.
Since $E=\bigcup_{n\in \mathbb{Z}}(E\cap(n,n+1])$, there $k \in \mathbb{Z}$ such that $\mu(E\cap (k,k+1])>0$. Let $E_k= E\cap (k,k+1]$. Clearly we have $0<\mu(E_k)\leq 1$.
From case 1, we know that for any $\alpha >0$ there is an open interval I such that $\mu(E_k\cap I)>\alpha \mu(I)$. Let $J=(k,k+1] \cap I$. $J$ is an interval and we have
$$\mu(E\cap J)=\mu(E\cap (k,k+1] \cap I))=\mu(E_k\cap I)>\alpha \mu(I)\geq \alpha \mu(J)$$
So we prove the result for this second case, which completes the proof.
Remark: Note that since we are trying to prove that: for all$E\in L$ and $m(E) > 0$, for any $\alpha < 1$ there is an open interval $I$ such that $m(E\cap I) > \alpha m(I)$, then to work by contradiction we suppose that: there is one $E\in L$ with $m(E) > 0$ such that there exists an $\alpha\in (0,1)$ such that $m(E\cap I) \leq \alpha m(I)$ for every open interval $I$.
Under this hypothesis, we can not simply replace $E$ by another $E$ with finite measure. In this approach, the best thing is to prove by cases (and case 2 is actually an easy consequence of case 1).