I'm trying to prove this result. Could you verify if my attempt is fine?
In a Banach space, the closed convex hull of a compact set is compact.
I post my proof separately as below answer. If other people post an answer, of course I will happily accept theirs. Otherwise, this allows me to subsequently remove this question from unanswered list.
Best Answer
Let $X$ is a Banach space and $K$ its compact subset. We want to prove that $\overline{\operatorname{conv} K}$ is compact. It suffices to show that $\overline{\operatorname{conv} K}$ is totally bounded.
By our Lemma 1, it suffices to show $\operatorname{conv} K$ is totally bounded. By Lemma 2 below, it suffices to prove that $K$ is totally bounded. This is trivially true because $K$ is compact.