Lemma 2
Tag 09I3, permanent. Cite it as [Bourbaki, Tag 09I3].
Integration, chapter VIII, § 1. Convolution
*Let T, T', T'' be three locally compact spaces, a measure on T, a -measurable mapping of T into T', a continuous mapping of T' into T'', and . If is -proper, then is -proper, is -proper, and .
Let K' be a compact subset of T'. Then is compact, therefore is essentially -integrable, therefore is essentially -integrable, thus is -proper. Then is -proper and by Ch. V, §6, No. 3, Prop. 4.
Bourbaki puts the proof directly after the statement, so what is above is the statement and its proof together.