I've always thought of $dx$ at the end of an integral as a "full stop" or something to tell me what variable I'm integrating with respect to. I looked up the derivation of the formula for volume of a sphere, and here, $dx$ is taken as an infinitesimally small change which is multiplied by the area of a disc($\pi r^2$) giving $\displaystyle V = 2\pi \int_0^r x^2 dy$ which is the sum of these infinitesimals.
Now I'm really confused. Is it correct to think of it this way? Is there any other way to prove this result without using infinitesimals?
Part two to my question: Using this same logic of using infinitesimals, I tried to find the surface area of a sphere and looked at it as the sum of infinite rings.
$\displaystyle A =2 \int_0^r 2\pi x dy$ $=> \displaystyle A = 2 \int_0^r 2\pi \sqrt{r^2-y^2} dy$ But this is wrong. Why?

The integration in question can be performed without mentioning infinitesimals explicitly. In order to understand the subtle issues involved in the calculation, it may be helpful to think of infinitesimals as Leibniz, Euler, and Cauchy did.
The subtle question here is why the residual volume (between the volume of the sphere and the "toothed" solid obtained as the infinite union of infinitely thin disks) can be neglected, whereas in evaluating the area of the surface, for example, such an approximation is inadequate. One answer is that the error involved in the volume calculation is negligible or more precisely infinitesimal, whereas the error involved in calculating the area will not be negligible.
Think for example of diagonal line in the plane. If you approximate this by a staircase then no matter how small the individual steps, the combined length of the staircase curve will not be close to the length of the diagonal.
This phenomenon occurs not only for a diagonal line of course but for any curve, for instance the circle: if you approximate it by a staircase then length will go up dramatically even if you choose very fine steps.
Since the sphere can be obtained from the circle by rotating the circle around the $z$-axis, the same sort of thing happens for the area of the sphere.
The best source for calculus with infinitesimals is Elementary Calculus.
Here $dx$ is indeed an infinitesimal, and neither a typographical device nor a full stop.