Let $\{A_\alpha : \alpha \in I\}$ a family of closed subsets of a compact metric space $(X,d)$ such that $\cap_{\alpha \in I} A_\alpha =\emptyset$. Prove that $\exists \varepsilon>0$ such that if $B \subseteq X$ with $\delta(B)<\varepsilon$ then $\exists \beta \in I$ such that $B \cap A_\beta = \emptyset$. Where $$\delta(B)=\sup \{d(x,y):x,y \in B\}.$$
My idea. Since $\cap_{\alpha \in I} A_\alpha =\emptyset$ we have $X-\cap_{\alpha \in I} A_\alpha = X$ then $\cup_{\alpha \in I} (X-A_\alpha) =X$, so $\{X-A_\alpha : \alpha \in I\}$ is an open cover of $X$ and since $X$ is compact we have that $X \subset \cup_{i=1}^{n} (X-A_{\alpha_i})$. This is what I have at the moment.