So far, you have shown that there is a subsequence converging to $\limsup a_n$. I.e., you have shown $\limsup a_n \in P$, which implies
$$
\limsup a_n \le \sup P
$$
To show the other inequality, consider any value $x \in P$. Then there is a subsequence of $a_n$, call it $a_{n_i}$, converging to $x$. Then notice that
$$
a_{n_i} \le \sup_{n > n_i} a_n
$$
So taking the limit of the above inequality (which exists for both sides), we find
$$
x \le \limsup a_n
$$
And since $x \in P$ was arbitrary,
$$
\sup P \le \limsup a_n.
$$