If $x\in n\mathbb{Z}\cap m\mathbb{Z}$, then $x$ is an integer multiple of both $m$ and $n$, and therefore an integer multiple of $\text{lcm}(n,m)$. That is, if both $n$ and $m$ divide $x$, then $\text{lcm}(n,m)$ divides $x$. Many proofs of this are given here. This implies that every $x\in n\mathbb{Z}\cap m\mathbb{Z}$ is a multiple of $\text{lcm}(n,m)$, thus:
$$n\mathbb{Z}\cap m\mathbb{Z} = \langle \text{lcm}(n,m)\rangle.$$
So, you were not wrong, since by basic number theory:
$$nm = \gcd(n,m)\text{lcm}(n,m).$$
In general, the intersection of two finitely generated groups is not necessarily finitely generated.
Edit:
We want to show that every $x\in n\mathbb{Z}\cap m\mathbb{Z}$ is an integer multiple of $\text{lcm}(n,m)$ (think of how every $y\in n\mathbb{Z}$ is an integer multiple of $n$, and $n$ generates $n\mathbb{Z}$).
If $x\in n\mathbb{Z}\cap m\mathbb{Z}$ then for some integers $k_1,k_2$,
$$x=k_1n\quad\text{and}\quad x=k_2m.$$
By definition, this means that both $n$ and $m$ divide $x$. By the theorem linked above, this implies that $\text{lcm}(n,m)$ divides $x$, which by definition means that there exists a $k\in\mathbb{Z}$ such that
$$x=k\cdot\text{lcm}(n,m).$$
Since $x$ was arbitrary, we can conclude that
$$n\mathbb{Z}\cap m\mathbb{Z} = \text{lcm}(n,m)\mathbb{Z}.$$
To see why it has to be the least multiple, consider $3\mathbb{Z}\cap 5\mathbb{Z}$. Notice that $15\in 3\mathbb{Z}\cap 5\mathbb{Z}$, but $15\notin 30\mathbb{Z}$. So if we attempt to make a larger multiple a generator, some elements of $3\mathbb{Z}\cap 5\mathbb{Z}$ will be left out.
The proof above shows exactly that. I think you are making this way harder than it needs to be. An element $\ell\in n\mathbb{Z}\cap m\mathbb{Z}$ generates $n\mathbb{Z}\cap m\mathbb{Z}$ if every $x\in n\mathbb{Z}\cap m\mathbb{Z}$ can be written in the form $x=k\ell$ for some $k\in\mathbb{Z}$. We showed above that every $x\in n\mathbb{Z}\cap m\mathbb{Z}$ is of the form $x=k\cdot\text{lcm}(n,m)$ for some $k$, so we must have that $\text{lcm}(n,m)$ generates $n\mathbb{Z}\cap m\mathbb{Z}$.
– Aug 13 '15 at 19:22