I have read in my class notes that $\int_{\mathbb{R^n}}\frac{1}{|x|^p}\phi(x)dx$ defines clearly a tempered distribution when $0<p<n$. It doesn't seem so easy to me and I have tried to prove it:
My attempt
If $\{\phi_n\}$ is a sequence of tempered distributions which converges to zero function: $$\int_{\mathbb{R^n}}\frac{1}{|x|^p}\phi(x)dx=\int_{B(0,1)}\frac{1}{|x|^p}\phi(x)dx+\int_{\mathbb{R^n}\backslash B(0,1)}\frac{1}{|x|^p}\phi(x)dx.$$
We have that $\int_{B(0,1)}\frac{1}{|x|^p}\phi(x)dx\leq{\sup|\phi(x)|}\int_{B(0,1)}\frac{1}{|x|^p}dx\to 0$.
On the other hand $\int_{\mathbb{R^n}\backslash B(0,1)}\frac{1}{|x|^p}\phi(x)dx=\int_{\mathbb{R^n}\backslash B(0,1)}|x|^n\frac{1}{|x|^{p+n}}\phi(x)dx\leq{\sup\{|x|^n\phi(x)\}}\int_{\mathbb{R^n}\backslash B(0,1)}\frac{1}{|x|^{p+n}}dx.$
How can we conclude that this second term converges to zero?
This is the way that I have followed. Please, if someone knows a better way, tell me.
You are almost done. First note that you are missing the subscript $n$ on all of your functions. Then as $\phi_n$ is an element of the Schwartz space $\textbf{S}(\mathbb{R}^n)$ you get $$\lim_{n\to\infty}\sup_{x\in\mathbb{R}^n}||x|^n\phi_n(x)|=0,$$ by the convergence of $\phi_n$ to $0$ in $\textbf{S}(\mathbb{R}^n)$. The last integral exists by $p+n>n$ and therefore the expression coverges to $0$.