There is a standard lemma in the theory of CW complexes, namely Proposition A.1 in the Appendix of Hatcher's Topology:
Every compact subset of a CW complex $X$ is contained in a finite subcomplex of $X$.
For the action of $G$ on $X$ to be cocompact means, by definition, that there is a compact $K \subset X$ such that $G \cdot K = X$. Let $L \subset X$ be a finite subcomplex containing $K$, and so $G \cdot L = X$ (one sees from this argument that cocompactness of the action is equivalent to the existence of a finite subcomplex $L$ such that $G \cdot L = X$).
Arguing by contradiction, suppose there exists a $0$-cell $x \in X$ such that $X$ is not locally finite at $x$. By definition of local finiteness, this means that there are infinitely many (open) cells $e \subset X$ of the given CW structure such that $x \in \overline e$. Referring to $\overline e$ as a closed cell, this is equivalent to saying that there are infinitely many closed cells $\overline e$ containing $x$.
Note also that the number of closed cells contained in $L$ is finite (because the number of (open) cells contained in $L$ is finite). It follows that for each $a \in G$ the number of closed cells contained in $a \cdot L$ is finite. But there are infinitely many closed cells that contain $x$, and so by applying the pigeonhole principle it follows that the set
$$A = \{a \in G \mid x \in a \cdot L\} = \{a \in G \mid a^{-1} \cdot x \in L\}
$$
is infinite.
Knowing that $x$ is a $0$-cell, it follows that each $a^{-1} \cdot x$ is a $0$-cell. But $L$ has only finitely many $0$-cells. By another application of the pigeonhole principle, there exists an infinite subset $B \subset A$ such that $b^{-1} \cdot x$ is constant independent of $b$. Picking one $b' \in B$, it follows that $b \cdot (b')^{-1}\cdot x = x$ for all $b \in B$. This proves that $x$ has infinite stabilizer, contradicting the hypothesis.