I'm trying to prove that for any sequence $(a_n)$ where $|a_n| < 1/n$, $(a_n)$ is a Cauchy sequence.
To do it I'm using the fact that any sequence that converges is Cauchy. I am using the Squeeze theorem to show that $0 \leq |a_n|\leq 1/n$ and since $0 \rightarrow 0, 1/n \rightarrow 0$ it must be that $(|a_n|)$ converges to $0$ and therefore is Cauchy.
Is this a valid proof?
Yes that is valid, but perhaps not what the questioner had in mind. You can prove it is Cauchy without mentioning a limit at all. For instance, if $\epsilon > 0$ is given and $N \in \mathbb N$ satisfies $N > \frac{2}{\epsilon}$ then $$n,m \ge N \implies |a_n - a_m| \le |a_n| + |a_m| < \frac 1n + \frac 1m \le \frac 2N < \epsilon.$$