I want to prove that $f = X^4 + \overline{2}$ is irreducible in $\mathbb{F}_{125}[X]$.
I know that $\mathbb{F}_{125}$ is the splitting field of $X^{125} - X$ over $\mathbb{F}_5$, and that this is a field extension of $\mathbb{F}_5$ of degree 3, and that $\mathbb{F}_{125} = \mathbb{F}_5[X]/(g)$ where $g = X^3 + X - \overline{1}$.
If we put $\alpha = X + (g)$ then $\{\overline{1}, \alpha, \alpha^2\}$ is a basis for $\mathbb{F}_{125}$ considered as a vector space over $\mathbb{F}_5$. Hence every element $x \in \mathbb{F}_{125}$ can be written $x = a_0 + a_1\alpha + a_2\alpha^2$, with $a_i \in \mathbb{F}_5$.
How do I proceed?
The roots of the polynomial $x^4+2=x^4-3$ are sixteenth primitive roots of unity because $3$ is a fourth primitive root of unity. This is not immediate, but it does follow. For if $\alpha$ is such a root, then $\alpha^{16}=1$. Hence the order of $\alpha$ is a factor of $16$. But $\alpha^8=3^2\neq1$, so no proper factor of $16$ will work.
The smallest extension field of $K=\mathbb{F}_5$ that contains sixteenth roots of unity is the field $E=\mathbb{F}_{625}$. This is because $16$ does not divide either $24=5^2-1$ nor $124=5^3-1$, but it does divide $624=5^4-1$. Consequently $$ f(x)=(x-\alpha)(x-\alpha^5)(x-\alpha^{25})(x-\alpha^{125}) $$ for some $\alpha\in E=K[\alpha]$, and $f$ is irreducible over $K$ as the minimal polynomial of $\alpha$.
So any factor of $f$ must have its coefficients in $E$, as the said coefficients are sums of products of conjugates of $\alpha$. Let $L=\mathbb{F}_{125}$. As $E\cap L=K$, any factor with coefficients in $L$ must have its coefficients in the prime field $K$. But we just saw that over $K$ this polynomial is irreducible, so no such factor can exist.