We consider convex hulls of random walks whose steps belong to the domain of attraction of a stable law in R^d. We prove convergence of the convex hull in the space of all convex and compact subsets of R^d, equipped with the Hausdorff distance, towards the convex hull spanned by a path of the limit stable Lévy process. As an application, we establish convergence of (expected) intrinsic volumes under some mild moment/structure assumptions posed on the random walk.