KFC said:
I mean if I use the state vector in momentum space what does this wavefunction ##\langle x|\psi_p\rangle## tell me?
There isn't a distinction between a state vector in momentum space and a state vector in position space. They're just different ways of writing the same state. You can expand any state vector ##\lvert \psi \rangle## in the position basis in terms of its wavefunction: $$\lvert \psi \rangle = \int \mathrm{d}x \, \psi(x) \lvert x \rangle \,.$$ In units where ##\hbar = 1##, momentum states are related to position states by $$\lvert p \rangle = \frac{1}{\sqrt{2 \pi}} \int \mathrm{d}p \, e^{i p x} \lvert x \rangle$$ (which is just saying that a momentum state is a de Broglie wave ##\psi_{p}(x) \propto e^{ipx}## in the position basis) and the inverse relation $$\lvert x \rangle = \frac{1}{\sqrt{2 \pi}} \int \mathrm{d}p \, e^{-ipx} \lvert p \rangle \,.$$ Insert the inverse relation into the state above and you get a Fourier transform of the wavefunction: $$\begin{eqnarray}
\lvert \psi \rangle &=& \int \mathrm{d}x \, \psi(x) \frac{1}{\sqrt{2\pi}} \int \mathrm{d}p \, e^{-ipx} \lvert p \rangle \\
&=& \int \mathrm{d}p \biggl[ \frac{1}{\sqrt{2 \pi}} \int \mathrm{d} x \, \psi(x) e^{-ipx} \biggr] \lvert p \rangle \\
&=& \int \mathrm{d}p \, \tilde{\psi}(p) \lvert p \rangle \,.
\end{eqnarray}$$ This is still the same state vector as before, just written in terms of the momentum states instead of the position states.
From the expression for ##\lvert p \rangle## above, you can work out what the dot product ##\langle x \vert p \rangle## is: $$\begin{eqnarray}
\langle x \vert p \rangle &=& \langle x \rvert \frac{1}{\sqrt{2 \pi}} \int \mathrm{d}x' \, e^{ipx'} \lvert x' \rangle \\
&=& \frac{1}{\sqrt{2 \pi}} \int \mathrm{d}x' \, e^{ipx'} \langle x \vert x' \rangle \\
&=&\frac{1}{\sqrt{2 \pi}} \int \mathrm{d}x' \, e^{ipx'} \delta(x - x') \\
&=& \frac{1}{\sqrt{2 \pi}} e^{ipx} \,.
\end{eqnarray}$$ So if you have a state expressed in the momentum basis, there's no problem working out its scalar product with a position state: $$\begin{eqnarray}
\langle x \vert \psi \rangle &=& \langle x \rvert \int \mathrm{d}p \, \tilde{\psi}(p) \lvert p \rangle \\
&=& \int \mathrm{d}p \, \tilde{\psi}(p) \langle x \vert p \rangle \\
&=& \frac{1}{\sqrt{2 \pi}} \int \mathrm{d}p \, \tilde{\psi}(p) e^{ipx} \,,
\end{eqnarray}$$ which is just the inverse Fourier transform of the wavefunction ##\tilde{\psi}(p)## in momentum space.