This is my proof:
We have the sequence $a_n$ is convergent. Consider some arbitrary $b_k$. We have for all $n$ that $a_n \leq b_k$. By the Limit Location theorem, we have $\lim_{n\rightarrow \infty} a_n \leq b_k$, i.e. $A \leq b_k$.
Since $b_k$ is arbitrary, we can generalize this inequality to all $b_n$: namely, for all $n$, $b_n \geq A$. By the Limit Location Theorem, $\lim_{n \rightarrow \infty} b_n \geq A$, i.e. $B \geq A$. QED.
Is this correct?
No: we don't know that $a_n\leq b_k$ for all $n$. We only know that $a_n\leq b_n$ (in other words, that $a_n\leq b_k$ when $n=k$).