In this article Interpolation inequalities with weights Chang Shou Lin the following lemma is stated and proved.
Lemma: Suppose $\dfrac{1}{p}+\dfrac{\alpha}{n} > 0$, then there exists a constant $C$ such that
$$|||x|^{\alpha}u||_p \leq C |||x|^{\alpha+1}Du||_p.$$
the proof consists only of the direct calculation \begin{align} |||x|^{\alpha}u||_p^p& = \int|x|^{p\alpha}|u|^p dx\\ & \leq C \int|x|^{p\alpha+1}|u|^{p-1}|Du| dx\\ & \leq C \left( \int|x|^{p\alpha}|u|^p dx \right)^{1-1/p} \left( \int|x|^{p(\alpha+1)}|Du|^p dx \right)^{1/p} \end{align} I'm almost certain that in the first inequality, we just used integration by parts. Hence, it is necessary to assume that the function u has compact support (the lemma does not make it clear what the function's class is), I got $$-(p\alpha+1)\int |x|^{p\alpha} \dfrac{\vec{x}}{|x|} u^pdx = p \int |x|^{p\alpha+1}u^{p-1}Dudx $$ I guess I must be missing something because I'm not using the hypothesis $\dfrac{1}{p}+\dfrac{\alpha}{n} > 0$. Or maybe that's not how it's done. Does anyone have any suggestions? Also, I'm thinking that the proper space in which this inequality holds is the space of C^1 functions with compact support, is that the best space? The last inequality is Holder's inequality.