Let $X \subset \mathbb{R}^n$. We define the polar cone as
$$Xº:=\{x\in\mathbb{R}^n\,|\,\langle u,x\rangle\leq 0,\forall u\in X\}$$
How can I show that this set is closed?
If I fix some $u\in X$ then I have that $\{x\in\mathbb{R}^n\,|\,\langle u,x\rangle\leq 0\}$ is a closed halfspace; but if $X$ is infinite we can't conclude that the intersection of closed sets is also a closed set (as far as we are talking in terms of usual topology).
Actually, your argument works: $X^0$ is closed because it can be expressed as an intersection of closed sets.