This is a special case of a much more general phenomenon, so I'm writing an answer which deliberately takes a slightly high-level functional-analytic POV; I think (personally) that this makes it easier to see the wood for the trees, even if it might not be the most direct proof. However, depending on your mathematical background it might not be the most helpful; so apologies in advance.
Anyway, start with a very general observation: let E be a (real or complex) Banach space, and for each n=1,2,dots let Tn:EtoE be a bounded linear operator which has finite rank. (In particular, each Tn is a compact operator.)
Lemma: Suppose that the sequence Tn converges in the operator norm to some linear operator T:EtoE. Then T is compact.
(The proof ought to be given in functional-analytic textbooks, so for sake of space I won't repeat the argument here.)
Now we consider these specific spaces Omegap. Let T:OmegaptoOmegap′ be the embedding that you describe.
For each n, define Tn:OmegaptoOmegap′ by the following rule:
Tn(x)i=xirmif|i|leqnrmand0rmotherwise
Then each Tn has finite rank (because every vector in the image is supported on the finite set iinmathbbZdvertvertivertleqn). I claim that Tn converges to T in the operator norm, which by our lemma would imply that T is compact, as required.
We can estimate this norm quite easily (and indeed all we need is an upper bound). Let xinOmegap have norm leq1; that is,
sumiinmathbbZd|xi|R(1+vertivert)−pleq1
Then the norm of (T−Tn)(x) in Omegap′ is going to equal C1/R, where
eqalign{ C &:= sum_{iin {mathbb Z}^d : vert ivert > n} |x_i|^R (1+vert i vert)^{-p'} \\ & = sum_{i in {mathbb Z}^d : vert ivert > n} |x_i|^R (1+vert i vert)^{-p} cdot (1+vert i vert)^{p-p'} \\ & leq sum_{i in {mathbb Z}^d : vert ivert > n} |x_i|^R (1+vert i vert)^{-p} cdot (1+vert n vert)^{p-p'} \\ & leq sum_{i in {mathbb Z}^d } |x_i|^R (1+vert i vert)^{-p} cdot (1+vert n vert)^{p-p'} & = (1+vert n vert)^{p-p'} }
This shows that VertT−TnVertleq(1+vertnvert)(p−p′)/R and the right hand side can be made arbitrarily small by taking n sufficiently large. That is, TntoT in the operator norm, as claimed, and the argument is complete (provided we take the lemma on trust).
Note that we used very little about the special nature of your weights. Indeed, as Bill Johnson's answer indicates, the only important feature is that in changing weight you in effect multiply your vector x by a "multiplier sequence" which lies in c0(mathbbZd), i.e. the entries "vanish at infinity".
Edit 17-02-10: the previous paragraph was perhaps slightly too terse. What I meant was the following: suppose that you have two weights omega and omega′, such that the ration omega/omega′ lies in c0(mathbbZd). Then the same argument as above shows that the corresponding embedding will be compact. Really, this is what Bill's answer was driving at: it isn't the weights which are important, it's the fact that the factor involved in changing weight is given by something "vanishing at infinity".
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