If $(M,g)$ is a Riemannian manifold, there is a metric $\tilde g=hg$ on $M$ which is complete, where $h$ is a positive smooth function. I've been given the hint to let $f:M\to \Bbb R$ be a smooth exhaustion function, which means that $f^{-1}(-\infty,c]$ is compact for all $c\in\Bbb R$. Then one should pick $h$ so that $f$ is bounded on $\tilde g$-bounded sets ($\tilde g$-bounded means bounded wrt. the distance function induced by $\tilde g$). (I don't want to repeat the classical proof by Nomizu and Ozeki.)
Assuming such an $h$ can be found, I understand how to complete the proof. I think that $h$ should be of the form $\mathrm e^{-2f}$ or $f^{-2}$ so that distances wrt. $\tilde g$ are shorter than wrt. $g$, so that the bounded sets are "shrunk."
I tried to assume the opposite, namely I chose one of those $h$s and assumed $f$ is unbounded on a $\tilde g$-bounded set $B$. Letting $(y_n)$ be a sequence in $B$ such that $f(y_n)>n$ for all $n$, I tried to contradict that $B$ is bounded, but nothing seems to work. (I just end up with trivial inequalities and the like.)
I'd appreciate a hint on how to start. My $h$ is probably wrong, but even if I had the right $h$, I'm not sure how to link $\tilde g$-boundedness to the boundedness of $f$.
One way to solve this problem is to use Whitney embedding theorem: Embed $M$ in $R^{2n+1}$ via a proper map $i: M\to R^{2n+1}$ so that $0\notin i(M)$. Then the function $f: x\mapsto ||i(x)||$ is a smooth exhaustion function on $M$. (Properness of $i$ translates to the property that $f$ is an exhaustion function.)
Edit. In the above I explained how to construct an exhaustion function: It appears that you already know how to do this. I will now explain how to find $h$. Let $(\bar{M}, \bar{d})$ denote the metric completion of $(M, d)$ where $d$ is the distance function defined via the metric $g$. If $\bar{M}=M$, you are done, hence, I will assume that the complement $\bar{M}-M$ is nonempty. Define the function $\delta(x)$ on $M$ to be the distance function from $x$ to the closed subset $\bar{M}- M$ in the metric space $(\bar{M}, \bar{d})$. This is a positive 1-Lipschitz function, hence, it is continuous. Now, set $$ h_o(x)= \delta^{-1}(x). $$ I will leave you to verify that the continuous Riemannian metric $g_o=h_o^2g$ yields a complete distance function on $M$. (This amounts to computing an elementary integral.) In order to find a smooth metric $\tilde{g}=h^2g$ conformal to $g$ you approximate $h_o$ by a smooth function $h$ so that $$ ||\tilde{g} -g||<1. $$ (This can be done for instance by using a smooth proper embedding of $M$ into $R^{2n+1}$ and then applying the classical Weierstrass approximation theorem.) What does it have to do with the exhaustion function $f$ I do not know (I think, none). I also do not know how similar is this proof to the classical one.