I'm looking for a proof of $\mathcal{S}(\mathbb{R}) \subset L^p(\mathbb{R})$ for $1 \leq p \leq \infty$.
My informal probe follow like this: For any function $f \in L^p(\mathbb{R})$ exists a piecewise function $h_n$ such that $||h_n(x) - f(x)||_{L^p} \rightarrow 0 \ \text{with} \ n\rightarrow \infty \ (\forall x)$, and any $h_n$ could be approximated by compactly supported smooth functions ($C_{c}^{\infty}(\mathbb{R})$). And Since $C_{c}^{\infty}(\mathbb{R})$ is dense in $\mathcal{S}(\mathbb{R})$, then can be concluded that $\mathcal{S}(\mathbb{R}) \subset L^p(\mathbb{R})$.
Any help to formalize that, or any different proof will be helpful.
To make Davide Giraudo's comment more clear, here are the steps:
$$ \int |f(x)|^p = \int \left((1+x^2)|f(x)|\right)^p\frac{1}{(1+x^2)^p} $$
From here, since $(1+x^2)f(x)$ is bounded (because $f\in \mathcal{S}$), and $\frac{1}{(1+x^2)^p}\leq \frac{1}{1+x^2}\in L^1$ (for $p\geq 1$), one gets
$$ \int |f(x)|^p \leq \|(1+x^2)f(x)\|^p_\infty \int \frac{1}{1+x^2}\leq \pi (\|f\|_{0,0}+\|f\|_{2,0})^p $$
where
$$ \|f\|_{\alpha,\beta} = \underset{x\in\mathbb{R}^n}{\sup} |x^\alpha D^\beta f(x)| $$
Since $f\in \mathcal{S}$, $\|f\|_{\alpha,\beta}$ is finite for all $\alpha,\beta\geq 0$.