The original problem is to show that the integral closure of $\mathbb{Z}_{(p)}$ in $\mathbb{Z}_p$ is a Henselian local ring.
Update: this is not correct. See my answer below for a counter-example.
Original post:
Here is my attempt and the problem: let $A$ be the integral closure of $\mathbb{Z}_{(p)}$ in $\mathbb{Z}_p$ (also in $\mathbb{Q}_p$, since $\mathbb{Z}_p$ is integrally closed), then $K:=Frac(A)$ is the algebraic closure of $\mathbb{Q}$ in $\mathbb{Q}_p$. Let $v_p$ be the $p$-adic discrete valuation on $\mathbb{Q}_p$, I think $A$ should be $\{x\in{K}|v_p(x)\geq0\}$. If we can prove this then the problem can be solved easily. $A\subseteq\{x\in{K}|v_p(x)\geq0\}$ can be proved by taking valuation on the minimal polynomial, but the reverse side is hard. In other words, if $x\in\mathbb{Z}_p$ is algebraic over $\mathbb{Q}$, I don't know how to prove it is integral over $\mathbb{Z}_{(p)}$.
When we are considering a finite extension of complete discrete valuation fields, we can use the explicit formula of the unique extension of the valuation (and the fact that it is Galois invariant) to prove integral $\iff$ $v\ge0$. What makes it quite hard here is that $\mathbb{Q}$ is not complete, so there is no Hensel's lemma, no uniquely extended valuation or an explicit formula, which means that we cannot use similar method.
I will greatly appreciate either a proof or a hint, thanks!
Counter-example: take $p=5$. We prove $A$ is not local.
Assume that $A$ is local. Then $5\mathbb{Z}_5\cap{A}=:\frak{p}$ is a prime ideal of $A$ lying above the maximal ideal $5\mathbb{Z}_{(5)}$ in $\mathbb{Z}_{(5)}$. Since $A$ is integral over $\mathbb{Z}_{(5)}$, $\frak{p}$ must be a maximal ideal, so it is the unique maximal ideal in $A$. By Hensel's lemma, $X^2+1=0$ has a root $\alpha = 2+pa_1+p^2a_2+\dots$ in $\mathbb{Z}_p$. $2+\alpha\in A$ but $2+\alpha\notin5\mathbb{Z}_5$, which means that $2+\alpha$ is invertible in $A$, i.e, $\frac{1}{2+\alpha}=\frac{2-\alpha}{5}$ is integral over $\mathbb{Z}_{(5)}$. However, the minimal polynomial of $\frac{2-\alpha}{5}$ over $\mathbb{Q}$ is $X^2-\frac45X+\frac15$, a contradiction.