For $x, y ∈ \mathbb Z$ we define the set: $S_{x,y} = \{mx + ny : m, n ∈ \mathbb Z\}$. Let $d = \gcd(x, y)$.
So I know that
$x = k_1\cdot d$
$y = k_2\cdot d$ (for some $k_1, k_2 ∈ \mathbb Z$)
So $mx+my = m(k_1\cdot d) + n(k_2\cdot d) = d(m\cdot k_1 + n\cdot k_2)$
Thus, $d|mx+ny$.
But does that imply $d|n$?
I can't comment (not enough reputation). You did a good job, and you indeed proved that $S_{x,y}\subset \{n\in\mathbb N : d\mid n\}$.