I want to prove that $X \times Y \subseteq \Bbb A^{2n}$ is an affine variety, given that $X,Y \subseteq \Bbb A^n$ are affine varieties.
Is this proof correct?
Since both $X$ and $Y$ are affine varieties, then they are closed subsets. This means that their projection maps are continuous and so $X\times Y$ is also closed.
Edit: their projection maps would be say $\pi$: $X \times Y \to X$, and $\phi: X \times Y \to Y$.
Let me rephrase your argument: the product $X \times Y$ is the intersection of $X\times \mathbb A^n$ and $\mathbb A^n \times Y$; thus to show that $X \times Y$ is closed in $\mathbb A^{2n}$, it suffices to show that each of these latter sets is closed. By symmetry, it obviously suffices to show that $X \times \mathbb A^n$ is closed, and since this is the preimage of $X$ under the projection to $\mathbb A^n$, it suffices to show that the projection map $\mathbb A^{2n} \to \mathbb A^n$ is continuous.
So, assuming you know that the projection is continuous (and its seems that you do), this approach using projections is correct. (But you have to phrase it correctly.)