@reuns
Here is a proof of $\mathbf Z^*_p = <\omega> \times U_1$ without Hensel's lemma (of course it's academic, because why shouldn't we use Hensel's lemma) ?
Algebraic lemma: Let $0\to A\to B\to C\to 0$ be a short exact sequence of finite abelian groups (in additive notation) s.t. the orders $a$ and $c$ of $A$ and $C$ resp. are coprime. Let $C'$ be the subgroup of $B$ consisting of all the elements killed by $c$. Then $B=A \times C'$, the projection $C' \to C$ is an isomorphism, and $C'$ is unique.
Proof. Everything follows from Bézout's theorem, which states the existence of $m, n \in \mathbf Z$ s.t. $ma+nc=1$. Since $(a,c)=1$, it is obvious that $A \cap C'=(0)$. Moreover, any $x \in B$ can be written $x=max + ncx$, which gives the direct product decomposition. If $B=A \times C''$, then clearly $C''$ is killed by $c$, so $C"$ is contained in $C'$, and finally $C'' = C'$. QED
Let us come back to the subgroups $U_n=1+p^n \mathbf Z_p$. Clearly $U_0/U_1 \cong \mathbf F^*_p$ and, for $n\ge 1$, the map $1+p^ny \to y$ mod $p$ induces an isomorphism $U_n/U_{n+1} \cong (\mathbf Z/p , +)$, and $U_1/U_n$ has order $p^{n-1}$ by induction. Applying the lemma to the exact sequence $1 \to U_1/U_n \to U_0/U_n \to \mathbf F^*_p \to 1$ for all $n\ge 1$, we get isomorphisms $U_0/U_n \cong U_0/U_{n-1}$ as well as induced isomorphisms $(U_n)' \cong (U_{n-1})'$. Taking the projective limit on $n$, we obtain $U_0=\varprojlim U_0/U_n$, hence the desired decomposition $\mathbf Z^*_p = <\omega> \times U_1$. NB: The uniqueness statement in the lemma was necessary to conclude about $\varprojlim (U_n)'$.