[guided]The key point is that the $\ell^p$ norm controls all finite coordinate blocks uniformly. Fix $\varepsilon>0$. Since $(x_m)_{m \in \mathbb{N}}$ is Cauchy in $\ell^p$, choose $M \in \mathbb{N}$ such that
\begin{align*}
\|x_m-x_k\|_{\ell^p} < \varepsilon
\end{align*}
whenever $m,k \geq M$.
Now fix one index $m \geq M$ and one finite cutoff $N \in \mathbb{N}$. For every $k \geq M$, the first $N$ terms of the series are bounded by the whole series:
\begin{align*}
\sum_{n=1}^{N} |x_{m,n}-x_{k,n}|^p \leq \sum_{n=1}^{\infty} |x_{m,n}-x_{k,n}|^p = \|x_m-x_k\|_{\ell^p}^p < \varepsilon^p.
\end{align*}
Why do we keep the cutoff $N$ finite? Because finite sums commute directly with limits. For each $n \in \{1,\dots,N\}$, we already know $x_{k,n} \to x_n$ as $k \to \infty$. Therefore
\begin{align*}
\lim_{k \to \infty}|x_{m,n}-x_{k,n}|^p = |x_{m,n}-x_n|^p.
\end{align*}
Since there are only finitely many terms, we may pass the limit through the sum:
\begin{align*}
\lim_{k \to \infty}\sum_{n=1}^{N} |x_{m,n}-x_{k,n}|^p = \sum_{n=1}^{N} |x_{m,n}-x_n|^p.
\end{align*}
Taking the limit as $k \to \infty$ in the finite inequality gives
\begin{align*}
\sum_{n=1}^{N} |x_{m,n}-x_n|^p \leq \varepsilon^p.
\end{align*}
The cutoff $N$ was arbitrary. Since the partial sums
\begin{align*}
\sum_{n=1}^{N} |x_{m,n}-x_n|^p
\end{align*}
increase as $N$ increases, their supremum is the infinite series. Hence
\begin{align*}
\sum_{n=1}^{\infty} |x_{m,n}-x_n|^p \leq \varepsilon^p.
\end{align*}
This proves both that $x_m-x \in \ell^p$ and that
\begin{align*}
\|x_m-x\|_{\ell^p} \leq \varepsilon
\end{align*}
for every $m \geq M$.[/guided]