One direction doesn't require convexity. Let $(\alpha+\beta)a\in (\alpha+\beta)A$. Then $\alpha a\in \alpha A$ and $\beta a\in \beta A$, and $(\alpha+\beta)a=\alpha a+\beta a$, so $(\alpha+\beta)a\in \alpha A + \beta A$.
For the other direction, let $\alpha a_1 + \beta a_2\in \alpha A + \beta A$. We need to find some $a_3\in A$ such that $\alpha a_1+\beta a_2=(\alpha+\beta)a_3$. To find such an $a_3$, divide both sides by $(\alpha+\beta)$. (footnote*). We set $a_3=\frac{\alpha}{\alpha+\beta}a_1+\frac{\beta}{\alpha+\beta}a_2$. Because $A$ is convex and these fractions are in $(0,1)$ and add up to 1, $a_3\in A$ and we're done.
(footnote*) This proof frays at the edges if $\alpha=\beta=0$, so this special case must be handle separately; it's easy though since $(0+0)A=0A+0A=\{0\}$ for any $A$.
I have one question more, from another problem. I have to prove that open half-space is convex set.
– user23709 May 27 '13 at 13:50