Show that $m\mathbb{Z}$ is a subgroup of $n\mathbb{Z} \iff n|m $
I think my solution for one way of this is correct:
$\Rightarrow$ Suppose $m \mathbb{Z}$ is a subgroup of $n\mathbb{Z}$ , then $m \mathbb{Z}$ is a subset of $n\mathbb{Z}$
Therefore $m$ is an element of $n\mathbb{Z}$, $m=nz$ for some $z$ in $\mathbb{Z}$
And so $n|m$ as required.
For the converse, am I allowed to do these steps in reverse or is there more I must do?
Yes, in this specific context, running through your arguments in reverse order actually provides a proof of the converse statement. (Obviously this is not generally the case with "if and only if" proofs.)
Arguably the last statement of the resulting proof -- in which we conclude that $m\in n\mathbb Z$ -- should be followed by something of the form: "... and since $m$ generates $m\mathbb Z$, this shows that $m\mathbb Z$ is a subgroup of $n\mathbb Z$."