I think you have to go right back to the definition of the Lebesgue integral to do this properly. For a positive function such as , the usual way to define its integral (as described here, for example) is that it is the supremum of the integrals of nonnegative simple functions majorised by . If the integral is finite (as it is if ) then each of these simple functions must have finite integral and therefore finite support. We can find a simple function s such that and . Now take to be the support of s. You should find that this does the required job.