Recently, having realized I did not properly internalize it (shame on me!), I went back to the definition of continuity in metric spaces and I found a proposition for which I was looking for a proof.
Here there is the result and my "proof" (in the hope to get rid of the quotation marks).
[In general, I use $N_{\varepsilon, X} (x)$ to denote an open $\varepsilon$-neighbourhood of $x \in X$.]
Proposition: Let $\phi \in \mathbb{R}^X$ be a continuous function, with $X$ an arbitrary metric space. Then, the set $\{ x \mid \phi(x) \geq \alpha \}$ is closed.
Attempted proof:
Let $\alpha$ be an arbitrary real number. We establish the result by showing that $\{ x \mid \phi(x) < \alpha \}$ is an open set in $X$. Notice that for every $x \in X$, if $\phi (x) < \alpha$, then there is a $\varepsilon > 0$ such that there is an open neighbourhood $N_{\varepsilon, \mathbb{R}} (\phi (x)) < \alpha$. Let $z \in X$ be arbitrary and such that $\phi (z) < \alpha$. Hence, by the definition of continuity and the fact that $\phi$ is continuous, there is a $\delta (z, \varepsilon) > 0$ such that$$N_{\delta, X} (z) \subseteq \phi^{-1} ( N_{\varepsilon, \mathbb{R}} ( \phi (z)). $$
Hence, being $z \in X$ arbitrary, the proposition follows.
Is this proof correct?
As always, any feedback is more than welcome.
Thank you for your time.
Edit:
I know it is possible to proceed, as hinted by air in a comment below, through the fact that the if a function is continuous, then the preimage of a closed set is closed. However, I find this solution a bit too topological, in the sense that I really would like to know about this $\varepsilon - \delta$ proof, which – to me – has a stronger metric flavour.
Ok now the proof is basically correct (when we are working in metric spaces)! Some remarks:
As Umberto P. also noted in his answer in the related question you asked, I am not fond of the notation "$N_{\varepsilon, \mathbb{R}} (\phi (x)) < \alpha$". In fact in the other thread you write "$\phi(Y) \le \alpha$" for a set $Y$, which is still a bit more appropriate than what you write here (though still false).
You should write instead: There is a neighborhood $N_{\varepsilon, \mathbb{R}} (\phi (x))$ such that or all $y \in N_{\varepsilon, \mathbb{R}} (\phi (x))$ it holds that $y < \alpha$.
Also towards the end, your argument is correct but I usually like to be a bit more explicit (at least until you get more comfortable with the material). For example I would write: By the continuity of $\phi$ there exists $\delta:=\delta (z, \varepsilon) > 0$ such that $|\phi(x)-\phi(z)| < \varepsilon$ for all $x \in N_{\delta, X}(z)$. This implies that for $x \in N_{\delta, X}(z)$ it holds that $\phi(x) \in N_{\varepsilon, \mathbb{R}} (\phi (z))$. Therefore we finally have that:
$$N_{\delta, X} (z) \subseteq \phi^{-1} ( N_{\varepsilon, \mathbb{R}} ( \phi (z)) \subseteq \{ x \mid \phi(x) < \alpha \}$$
This finishes our proof. (Note the final inclusion; you had already shown it but I still feel it is critical to the argument and should be repeated at this point.)