Let $f_n(x)=\int_0^x y^n \cos(y+n\pi/2) dy$. Then, using integration by parts,
$$\int_0^z \frac{1}{x^{n+1}} f_n(x) dx =
-\frac{1}{nz^n} f_n(z)
+ \frac{1}{n} \sin(z+n\pi/2).$$
Now, again using integration by parts, this time on $f_n(z)$, it follows that the right hand side equals
$$\frac{1}{z^n} \int_0^z y^{n-1} \sin(y+n\pi/2)dy.$$
Note that $\sin(y+n\pi/2) = \cos(y+(n-1)\pi/2)$, which follows from $\sin(a+b)=\sin a \cos b + \sin b \cos a$.
Hence,
$$\int_0^z \frac{1}{x^{n+1}} f_n(x) dx = \frac{1}{z^n} f_{n-1}(z).$$
Now use your induction trick.