The title says it. I thought of the following: we want $$\Bbb N = \dot {\bigcup_{n \geq 1} }A_n$$ We pick multiples of primes. I'll add $1$ in the first subset. For each set, we take multiples of some prime, that hasn't appeared in any other set before. Then $$\begin{align} A_1 &= \{1, 2, 4, 6, 8, \cdots \} \\ A_2 &= \{3, 9, 15, 21, 27, \cdots \} \\ A_3 &= \{5, 25, 35, 55, \cdots \} \\ A_4 &= \{7, 49, 77, \cdots \} \\ &\vdots \end{align} $$
I'm heavily using the fact that there are infinite primes. I think these sets will do the job. Can someone check if this is really ok? Also, it would be nice to know how I could express my idea better, instead of that hand-waving. Alternate solutions are also welcome. Thank you!
Edit: the subsets must be also infinite.
Here is another way to do it. Let $A_{i}$ consist of all the numbers of the form $2^im$ where $2\nmid m$. That is, $A_i$ consists of all the numbers that have exactly a factor of $2^i$ in them. So $$\begin{align} A_0 &= \{1,3,5,7,9,11, \dots\}\\ A_1 &= \{2, 6 =2^1\cdot 3, 10 = 2^1\cdot 5, 14 = 2^1\cdot 7, \dots\}\\ A_2 &= \{4 = 2^2, 12=2^2\cdot 3, 20=2^2\cdot 5, \dots\}\\ A_3 &= \{8=2^3, 24=2^3\cdot 3, 40=2^3\cdot 5, \dots \}\\ &\vdots \end{align} $$ In general $A_i = \{2^im: p\nmid m\}$. You can of course pick any other prime instead of $2$.