We investigate the valence intraband transitions in p-doped self-assembled InAs quantum dots using a far-infrared magneto-optical technique with polarized radiation. We show that a purely electronic model is unable to account for the experimental data. We calculate the coupling between the confined hole and the longitudinal optical phonons of the surrounding lattice using the Fröhlich Hamiltonian, from which we determine the polaron states as well as the energies and oscillator strengths of the valence intraband transitions. The good fit between the experiments and calculations provides strong evidence for the existence of hole polarons and demonstrates that the intraband magneto-optical transitions occur between polaron states.