We take the completion of $\mathbf{Q}$ with respect to the p-adic norm in the following way. We take the ring of all Cauchy sequences $C$ modulo the maximal ideal $M$ of all null sequences and we define $\mathbf{Q}_p:=C/M$. There is a non-archimedean norm on $\mathbf{Q}_p$: for an equivalence class $x\in \mathbf{Q}_p$ we take a representative Cauchy sequences $(a_n)$ and we define $|x|=\lim |a_n|$.
I proved that $\mathbf{Q}$ is dense in $\mathbf{Q}_p$. Indeed if $x\in \mathbf{Q}_p$, then we take a representative Cauchy sequence $(a_n)$ in $\mathbf{Q}$. Let $\epsilon>0$, then there exists $N\in \mathbf{N}$ such that for all $m\geq N$ we have $|a_m-a_N|<\epsilon$. Now take the element in $y\in \mathbf{Q}_p$ represented by the constant sequence $(a_N,a_N,a_N,\ldots)$. Then $|x-y|=\lim |a_N-a_m|\leq \epsilon$. $\square$
I can find nowhere in literature a straight forward proof by hand that $\mathbf{Q}_p$ is complete. It is always left as an exercise, which I understand because it is very involved to work with "Cauchy sequences of Cauchy sequences of cauchy sequences etc.". So I decided to try it myself, but I didn't succeed..
My try. Let $(a^{(n)})$ be a Cauchy sequence in $\mathbf{Q}_p$. That means that for every $n$, $a^{(n)}\in \mathbf{Q}_p$, so we can find a representative Cauchy sequence in $\mathbf{Q}$ which we denote $(a^{(n)}_j)_j$. I have to find an element $b\in \mathbf{Q}_p$ such that $0=\lim_{n\to\infty }|a^{(n)}-b|=\lim_{n\to\infty} \lim_{j\to\infty} |a^{(n)}_j-b_j|$...
I am looking for a clear proof (it can use density which I already proved) that $\mathbf{Q}_p$ is complete wrt this norm.
This can be approached from the point of view of metric spaces in general. As mentioned in the comments, by using the completion of a metric space by the Cauchy sequence space construction. The density result you proved can be used as it is used in the lemma below.
Let $X$ is a metric space with metric $d$. Let $\widehat{X}$ denote the set of all Cauchy sequences $\widehat{x}=(x_1,x_2,\dots)$ of points of $X$. Define $\widehat{x}\sim \widehat{y}$ if $d(x_n,y_n)\to 0$. The relation $\sim$ is an equivalence relation.
Let $[\widehat{x}]$ denote the equivalence class of $\widehat{x}$, and let $Y$ denote the set of these equivalence classes. Define a metric on $D$ on $Y$ by the equation $$D([\widehat{x}],[\widehat{y}])=\lim_{n\to \infty}d(x_n,y_n).$$ The map $h:X\to Y$ defined by $h(x)=[(x,x,\dots)]$ is an isometric embedding.
The set $h(X)$ is dense in $Y$, in fact, given $\widehat{x}=(x_1,x_2,\dots)\in \widehat{X}$, the sequence $h(x_n)$ of points in $Y$ converges to the point $[\widehat{x}]$.
The metric space $(Y,D)$ is complete because of the following lemma.
Lemma: If $A$ is a dense subset of a metric space $(Z,\rho)$, and if every Cauchy sequence in $A$ converges in $Z$, then $Z$ is complete.
Proof: Let $(z_n)$ be a Cauchy sequence in $Z$. Since $A$ is dense in $Z$, for each $n$ we can choose $x_n\in B\left(z_n,\frac{1}{2^n}\right)\cap A$.
Given $\varepsilon>0$, let $N$ be such that $m,n\geq N\implies \rho(z_m,z_n)<\frac{\varepsilon}{3}$ and that $\frac{1}{2^N}<\frac{\varepsilon}{3}$.
Then for $m,n\geq N$ we have: $$\rho(x_m,x_n)\leq\rho(x_m,z_m)+\rho(z_m,z_n)+\rho(z_n,x_n)<\varepsilon$$ Therefore, $(x_n)$ is a Cauchy sequence in $A$ and then it's convergent to some $x\in Z$.
Given $\varepsilon>0$, there exists $N$ be such that $n\geq N\implies \rho(x_n,x)<\frac{\varepsilon}{2}$ and that $\frac{1}{2^N}<\frac{\varepsilon}{2}$.
Then $n\geq N\implies \rho(z_n,x)\leq\rho(z_n,x_n)+\rho(x_n,x)<\varepsilon$.
Thus $(z_n)$ is convergent to $x$ and $Z$ is complete. $\blacksquare$