Its easier to prove it first for $C^\infty_c$. For these functions we have mean value theorem(for $\Bbb R^n$ its only an inequality), valid for every $x,h$ $$|f(x+h) - f(x)| ≤ |\nabla f(x_0)h| ≤ ‖∇ f‖_∞ |h|$$
So if $\text{supp }f = U$,
$$ ∫_{\mathbb R^n} |f(x) - f(x+h)|^p \ \text dx ≤ \mu(U )‖ ∇ f‖^p_∞ |h|^p → 0 $$
Then conclude by density; choose $f_n$ smooth compactly supported with $f_n → f ∈ L^p$, and $n$ large we obtain
$$‖ f(x+h) - f(x) ‖_p ≤ ‖ f(x+h)- f_n(x+h)‖_p + ‖ f_n(x+h)- f_n(x)‖_p + ‖ f(x)- f_n(x)‖_p ≤ 3h → 0 $$