OK here's a proof. I translated the proof from
http://www.mathreference.com/top-ms,rcomp.html which seemed a bit hand wavey but nonetheless correct.
Since this is plain text, here's a notation reference:
N = {1,2,...} is the set of natural numbers.
N_k will represent a natural number, not to be confused with N, the natural numbers.
s = (s[1],s[2],...) will be a sequence in X. p_1, p_2, ... will be a sequence in X*,
so p_i = (p_i[1],p_i[2], ...).
d(x,y) is the distance between points in X.
D(p,q) is the distance between points in X* (Cauchy sequences of points in X),
i.e. D(p,q) = lim{k->infinity}d(p[k],q[k])
Let {p_n} be a Cauchy sequence in X*. We need to find c in X* such that p_n -> c.
Construct a sequence c = (c[1], c[2], ...) of points in X as follows:
For k in N, p_k is a Cauchy sequence of points in X,
so there is a N_k in N such that m,n >= N_k implies d(p_k[n],p_k[m]) < 1/k.
Define c[k] = p_k[N_k].
We inductively get c = (p_1[N_1], p_2[N_2], ...).
We have to show two things:
1) c is a Cauchy sequence of points in X, and
2) p_n -> c.
Proof of the first part, c is a Cauchy sequence of points in X:
Fix e > 0.
Choose M in N such that
1/M < e,
i,j >= M implies D(p_i,p_j) < e.
So fix i,j >= M. It will suffice to prove that d(c
,c[j]) < 3e.
Since lim{q}d(p_i[q],p_j[q]) = D(p_i,p_j) < e,
there exists K >= N_i,N_j such that q >= K implies d(p_i[q],p_j[q]) < e.
Then we have
d(c,c[j]) = d(p_i[N_i],p_j[N_j])
<= d(p_i[N_i],p_i[K]) + d(p_i[K],p_j[K]) + d(p_j[K],p_j[N_j])
< 1/i + e + 1/j
< 3e.
Since i,j >= M were arbitrary, it follows that c = (c[1],c[2],...) is Cauchy,
hence c is in X*.
Proof of the second part, p_n -> c:
Fix e > 0. Choose M in N such that
1/M < e,
i,j >= M implies d(c,c[j]) < e.
Fix i >= M.
Then for any n >= max{M,N_i}, we have
d(p_i[n], c[n]) <= d(p_i[n], p_i[N_i]) + d(p_i[N_i], c) + d(c, c[n])
< 1/i + 0 + e
< 2e
This shows D(p_i,c) = lim d(p_i[n],c[n]) < 2e.
But since i >= M was arbitrary, it follows that for all e > 0,
there exists M such that i >= M implies D(p_i,c) <= 2e.
Hence D(p_i,c) -> 0 as n -> infinity, i.e. p_n -> c.
QED