It is straightforward to see that if $A \subset B$ then
$\operatorname{diam} A \le \operatorname{diam} B$, hence
$\operatorname{diam} C \le \operatorname{diam} (\operatorname{co} C)$.
If $x,y \in \operatorname{co} C$, then there are $\alpha,\beta$ with $\sum_i \alpha_i = \sum_j \beta_j = 1$ and $\alpha_i \ge 0, \beta_j \ge 0$, and
$u_i,v_j \in C$
such that
$x = \sum_i \alpha_i u_i, y = \sum_j \beta_j v_j$. (All of the sums are over a finite range.)
Then $x-y = \sum_i \sum_j \alpha_i \beta_j (u_i-v_j)$ and so
$\|x-y\| \le \sum_i \sum_j \alpha_i \beta_j \|u_i-v_j\| \le \operatorname{diam} C$
and so
$\operatorname{diam} (\operatorname{co} C) \le \operatorname{diam} C$.
This is true in any normed space.
It is not clear what you mean by constructing the set from a support function.
One can always define $C = \{ x | \langle h, x \rangle \le \sigma(h) \}$,
where $\sigma$ is the support function. Then $C$ is convex and
$\sup_{x \in C} \langle h, x \rangle = \sigma(h)$.
Elaboration:
Note that $\sum_i \alpha_i = \sum_j \beta_j =1$.
\begin{eqnarray}
x-y &=& \sum_i \alpha_i u_i - \sum_j \beta_j v_j \\
&=& \sum_i \alpha_i (u_i - \sum_j \beta_j v_j) \\
&=& \sum_i \alpha_i \sum_j \beta_j(u_i - v_j) \\
&=& \sum_i \sum_j \alpha_i \beta_j(u_i - v_j)
\end{eqnarray}