My attempt:
We will prove by contradiction, assume to the contrary that A is unbounded. Then we will show that if every sequence in A has a convergent subsequence then A is unbounded. But if A is unbounded, then we have a sequence $f_n$ that diverges to $\infty$ (1), diverges to $-\infty$ (2), or diverges to $\infty$ and $-\infty$ (3). But $f_n$ diverges to infinity then every subsequence of $f_n$ also diverges to infinity. Therefore, there is a sequence that has no convergent subsequence which is a contradiction. This holds for (2) and (3). Thus A must be bounded.
Is this correct?
Your proof needs to be cleaned up a little. You say you are using proof by contradiction, but then say
That's not what contradiction means. What you mean to say is
This clearly states the aim of the argument, and presents a clear contradiction to the hypotheses.
The remainder of the proof is, I believe, a bit confused and longer than necessary. For instance, you asset the existence of a sequence $f_n$ in $A$ which diverges in one of three ways. How do you know such a sequence exists? Once you know that it exists, why deal with three separate cases? What does divergence to $\infty$ and divergence to both $\infty$ and $-\infty$ mean? If a sequence diverges to $\infty$, how do you know every subsequence diverges to $\infty$? Some of these questions have good answers, but regardless, they should be addressed in a rigorous proof. I think a simpler argument is
Now consider the sequence $(a_n)$. It is a subsequence of itself. If you can show that the (sub)sequence $(a_n)$ does not converge, then you are done.