I have the following proof in my notes:
T and S are compact operators. We need to proof that a linear combination is still a compact operator Let $\{x_n\}$ be a bounded sequence in $X$, then because $T$ is compact there exists a convergent subsequence $\{Tx_{n_k}\}$ . Because $S$ in compact, there exists a convergent subsequence $\{Sx_{n_{k_j}}\}$. Hence, $\alpha Tx_{n_{k_j}} + \beta Sx_{n_{k_j}}$ is convergent.
I'm lost after getting $\{Tx_{n_k}\}$ . In particular I don't understand why they are taking a subsequence of a subsequence here $\{Sx_{n_{k_j}}\}$, since I don't know if $\{Tx_{n_k}\}$ or $\{Sx_{n_k}\}$ are bounded in order to extract a subsequence of that subsequence. I only know that $\{x_n\}$ is bounded.
I would do it like this: I can say for sure is that there exist convergent subsequences $\{Tx_{n_k}\}$ and $\{Sx_{n_k}\}$. Then I would say that the linear combination $\alpha Tx_{n_k} + \beta Sx_{n_k}$ is convergent so I have a convergent subsequence of $\{(\alpha T + \beta S)x_n\}$ , so $\alpha T + \beta S$ is compact. Isn't this correct?