To prove $\frac{\mathrm{d}^3\vec{p}}{E}$ is Lorentz invariant is to prove $$\frac{\mathrm{d}^3\vec{p}}{E} = \frac{\mathrm{d}^3\vec{p}'}{E'} \qquad(\mathrm{d}^3\vec{p} := \mathrm{d}p_x \mathrm{d}p_y \mathrm{d}p_z). \tag{1}$$
Suppose reference system $\Sigma'$ is moving at speed $v=\beta$ ($c=1$) along $z$ axis of $\Sigma$. We have $$E' = \gamma(E - \beta p_z), \qquad p_{x,y}' =p_{x,y}, \qquad p_z' = \gamma(p_z-\beta E), $$
then $$\det\frac{\mathrm{d}\vec{p}'}{\mathrm{d}\vec{p}} = \gamma \Big( 1 - \frac{\mathrm{d}E}{\mathrm{d}p_z} \Big).$$
If $$ \frac{\mathrm{d}E}{\mathrm{d}p_z} = \frac{\partial E}{\partial p_z} = \frac{p_z}{E}, \tag{2} $$ we can prove (1). However, I don't understand the first equality in (2).