I assume that the manifold is finite dimensional.
By definition, the action of $G$ on $M$ is proper if and only if for any compact subset $C\subset M$ of $M$, $G_C=\\{g\in G: g(C)\cap C\
eq\phi\\}$ is finite.
Let $x\in M$, since $M$ is finite dimensional, $x$ has a neighborhood $U_x$ such that the adherence $U'_x$ of $U_x$ is compact. Since the action is proper $G_{U'_x}$ is finite. You also have $G_{U_x}\subset G_{U'_x}$ is finite.