The conditions for a set to be a vector space are that it must contain the zero vector and be closed under addition and scalar multiplication. I am having trouble showing that $\mathcal{F}(X, \mathbb{R})$ satisfies these conditions.
1) Closure under addition
Choose $f, g \in \mathcal{F}(X, \mathbb{R})$ I need to show that $f + g \in \mathcal{F}(X, \mathbb{R})$. Choose an arbitrary element $x \in \mathbb{R}$.
Then since
$$f(x) \in \mathcal{F}(X, \mathbb{R})$$ and $$g(x) \in \mathcal{F}(X, \mathbb{R}),$$
we have
$$f(x) + g(x) = (f + g)(x) \in \mathcal{F}(X, \mathbb{R}).$$
Thus, closure under addition has been proved.
2) Closure under scalar multiplication Choose some constant $c \in \mathbb{R}$ and an arbitrary function $f \in \mathcal{F}(X, \mathbb{R})$.
We can set some function $g = c\cdot f$, and since $g$ still maps from $X$ to $\mathbb{R}$, we have $g\in\mathcal{F}(X, \mathbb{R})$. Thus, closure under scalar multiplication has been proven.
3) Zero vector This is implied by condition $2$, with $c = 0$.
Is my proof correct?
As Kusma already stated, that kind of reasoning is only valid for subsets of a vector space.
This is not written correctly. We have $$ f \in \mathcal{F}(X, \mathbb{R}) $$ and $$ f(x) \in \mathbb{R} $$ Same for $g$ and $g(x)$. And the relevant statement is $$ \begin{align} f, g \in \mathcal{F}(X, \mathbb{R}) & \Rightarrow (f+g)(x) = \underbrace{f(x)}_{\in \mathbb{R}} + \underbrace{g(x)}_{\in \mathbb{R}} \in \mathbb{R} \quad (x \in X) \\ & \Rightarrow f+g \in \mathcal{F}(X, \mathbb{R}) \end{align} $$ Etc.