Suppose that the state $|p,\sigma\rangle$ (for a massless particle) has 3 momentum ${\bf p}=p_3$ (that is the momentum is in the $z$ direction) and that $J_3|p,\sigma\rangle=\sigma|p,\sigma\rangle$ where ${\mathbf{P }}=(P_1,P_2,P_3)$ is the momentum operator and ${\mathbf{J }}=(J_1,J_2,J_3)$ the angular momentum operator. Than
$$\frac{{\bf J} \cdot {\mathbf{P }}}{{|\mathbf{P}|}}|p,\sigma\rangle=\frac{{\bf J_3} {\mathbf{P_3 }}}{{|\mathbf{P}|}}|p,\sigma\rangle =\sigma|p,\sigma\rangle$$
Now suppose that we make a rotation around the $x$ axis than for a massless particle the state should transform like this $$U(\Lambda)|p,\sigma\rangle=e^{i\theta\sigma}| \Lambda p,\sigma\rangle.$$
Since $\mathbf{J_2}|\Lambda p,\sigma\rangle=0$, how can we proof that $$\frac{{\bf J} \cdot {\mathbf{P }}}{{|\mathbf{P }|}}|\Lambda p,\sigma\rangle=\frac{p'_3 \mathbf{J_3 }}{|\mathbf{P }|}|\Lambda p,\sigma\rangle=\frac{p'_3 \sigma}{|\mathbf{P }|}|\Lambda p,\sigma\rangle.$$
is equal to
$$\sigma|\Lambda p,\sigma\rangle$$
or since rotation leaves the norm of a vector invariant, that is the same as to proof that
$$\frac{p'_3}{|\mathbf{P }|}|\Lambda p,\sigma\rangle=\frac{p'_3}{p_3}|\Lambda p,\sigma\rangle$$
is equal to
$$|\Lambda p,\sigma\rangle$$