Theorem:
Let $M$ is a smooth compact manifold with complete metric $\rho$. Let $f : M \to \mathbb{R}^N$ be an immersion. Then there exists a $\delta > 0$ such that for any $m_1,m_2 \in M$ that satisfy $\rho(m_1,m_2) < \delta$, it follows $f(m_1) = f(m_2) \iff m_1 = m_2$.
Proof Idea:
For each $m \in M$ there exists an open neighbourhood $U_m \subset M$ such that $m \in U$ and $f\rvert_{U_m}$ is an embedding. In particular $f\rvert_{U_m}$ is injective. For each point $m \in M$ we define a ball $B_m \subset U_m$ centred at $m \in M$. The collection of balls $\{ B_m \ | \ m \in M \}$ forms an open cover of $M$.
Can I somehow ensure that there the infimum over the radius of the balls is strictly positive? Then I can define the infimum as $\delta > 0$ and this will (I hope) complete the proof?
Is there a different strategy for proving this result?
If this theorem is false, are there any extra conditions I can impose on the map $f$ or the manifold $M$ so that the Theorem becomes true?
No this is exactly the right idea. You can use that you manifold is already covered by finitely many of the balls $B_m$, which is imposed by the compactness.
And, starting from there, you should replace your $\delta$ by something smaller to ensure that each two points may be regarded in one of the balls $B_m$.
$\textbf{Edit:}$ My first answer was kind of a quick shot only answering your first part of the question. Sorry for that. The answer to you question in the comments below is no, its not that easy.
$\textbf{Another edit:}$ In your second proof I can't see why the radius is continuous, I mean vividly I would expect it, but proving that may be difficult. However, I remember some theorem which states something like that the compactness implies that you can find a $\delta>0$ such that any ball of radius $\delta$ is already contained in at least one of the covering sets. With this you can finish your proof by your last paragraph. However, I can't remember the name and I can't find it at the moment.