Let $x\in [0,1]$, $\epsilon >0$. Then there is $N \in \mathbb N$ large so that
$$ \frac 1N <2\epsilon.$$
Now we know that there is $m \in \mathbb Z$ so that $0< \{ m\alpha\} <\frac 1N$. Let $K \in \mathbb N$ so that $K\{m\alpha\} <1$ and $(K+1)\{m\alpha\} \ge 1$. Then the set
$$C = \{ \{m\alpha\}, \{2m\alpha\}, \{3m \alpha\}, \cdots, \{ K m\alpha\}\} \subset [0,1]$$
has $K$ elements and $ \{im\alpha\} = i\{m\alpha\}$ for $i=1, 2, \cdots, K$. In particular, as $\{m\alpha\}$, which is the distance between adjacent elements in $C$, is less than $\frac 1N <2\epsilon$, there must be $J \in \{1, 2, \cdots, K\}$ so that
$$\{Jm \alpha\} \in (x-\epsilon, x+\epsilon)$$
as $\{Jm \alpha\}\in S$, $(x-\epsilon, x+\epsilon) \cap S \neq \emptyset$.