Im following the definitions from the book Mathematical Logic by Ebbinghaus.
Definition of Second Order Logic
Definition of Weak Second Order Logic
Definition of 'Expressiveness'
I'm trying to show that $\mathscr{L}_{\rm II}^w \leq \mathscr{L}_{\rm II}$. To do this, by the above definitions we need to show that for every symbol set $S$ and sentence $\phi\in L_{\rm II}^w(S)$, there is a sentence $\psi\in L_{\rm II}(S)$ such that ${\rm Mod}^S_{\mathscr{L}_{\rm II}^w}(\phi) = {\rm Mod}^S_{\mathscr{L}_{\rm II}}(\psi)$, i.e., for all $S$-structure $\mathfrak{A}$ we have that $\mathfrak{A}\vDash_{\mathscr{L}_{\rm II}^w} \phi$ iff $\mathfrak{A}\vDash_{\mathscr{L}_{\rm II}} \psi$.
I thought about by induction on the structure of $\phi$ because if $\phi \equiv \exists X\phi'$, then
\begin{align*} \mathfrak{A}\vDash_{\mathscr{L}_{\rm II}^w} \exists X\phi' & \text{ iff there is a finite $C\subseteq A^n$ such that } \mathfrak{A}_{\frac{C}{X}}\vDash_{\mathscr{L}_{\rm II}^w} \phi' \qquad (\text{by definition})\\ & \text{ iff there is a finite $C\subseteq A^n$ such that } \mathfrak{A}_{\frac{C}{X}}\vDash_{\mathscr{L}_{\rm II}} \psi' \qquad (\text{by I.H.})\\ & \Rightarrow \mathfrak{A}\vDash_{\mathscr{L}_{\rm II}} \exists X\psi'. \end{align*}
The problem is when we try to prove the converse since $\mathfrak{A}\vDash_{\mathscr{L}_{\rm II}} \exists X\psi'$ provides us an arbitrary subset $C\subseteq A^n$ that may not be finite.



The translation is indeed slightly more complicated than what you're setting up.
The point is that SOL can express that a given set is finite$^1$. This lets us set up the quantifier clause for our translation as $$(\exists X\varphi)'=\exists X[X\mbox{ is finite}\wedge \varphi'].$$
$^1$This actually has a slight subtlety. If we assume the axiom of choice, then "$X$ is finite" is equivalent to "$X$ has no non-surjective self-injection" (called Dedekind-finiteness), which is clearly SOL-expressible. On the other hand, it's consistent with set theory without choice that there are Dedekind-finite infinite sets. So if we want an approach that works without the axiom of choice, more care is needed. Since this is a cute puzzle, I've spoilered a solution: