Let function $f: \mathbb{R} \to \mathbb{R}$ periodic with period $T>0$. I want to show, using the definition of the limit at infinity, that $f$ cannot have the limit $\infty$ while $x \to \infty$.
The definition is the following:
$\lim_{x\to +\infty} f(x)=L$ means that for each $\epsilon>0$ we can find a $N$ such that if $x>N$ then $|f(x)-L|<\epsilon$.
Let $\epsilon>0$ and $N$ such that $x>N$.
Since $f$ is periodic, if $|f(x)-L|< \epsilon$ then $|f(x+T)-L|< \epsilon$.
Then we have that $L-\epsilon<f(x)<L+\epsilon$ and $L-\epsilon<f(x+T)<L+\epsilon$.
Is the above procedure right so far? How can we continue?
No, it is not correct. You are aiming at proving that the limit of $f$ at $\infty$, if it exists, is not $\infty$. But then you start writing about the definition of $\lim_{x\to\infty}f(x)=L$, where $L$ is a real number.
Suppose that $\lim_{x\to\infty}f(x)=\infty$. Then there is a $M>0$ such that $x>M\implies\bigl\lvert f(x)\bigr\rvert>\bigl\lvert f(0)\bigr\rvert$. But that's impossible, because$$f(0)=f(T)=f(2T)=\cdots$$and, if $N\in\mathbb N$ is large enough, then $nT>M$ and therefore $\bigl\lvert f(nT)\bigr\rvert$ should be greater than $\bigl\lvert f(0)\bigr\rvert$.