I've seen some solutions to this problem but I'm wondering what is incorrect about an argument like this:
$S = \{x \in \mathbb{R}^d: |x| = 1\}$, then $\delta S = \{x \in \mathbb{R}^d: |\delta x| = 1\}$, and so
\begin{align*} \{ x \in \mathbb{R}^d: |\delta ||x| = 1\} & = \{ x \in \mathbb{R}^d: |x| = 1 / |\delta | \} \end{align*}
As we take $\delta $ large, then $\delta S$ becomes the set in which $|x| = 0$, i.e. the origin in $\mathbb{R}^d$ , which has zero measure, and since: $m(\delta S) = \delta^d m(S)$ where $m$ is the Lebesgue measure, it follows that $m(S) = 0$
$\delta S$ is for any $\delta>0$ a sphere with radius $\delta>0$. No matter how big $\delta >0$ is choosen, it does not become the set $\{0\}$.