I'm taking calculus right now.
If the difference between each real number and the next is an infintesimal, then wouldn't the following sequence $\{0\,dx, 1\,dx, -1\,dx, 2\,dx, -2\,dx, \ldots\}$ be a set of all real numbers?
But I was schooled that you can't make a sequence of all real numbers. Is somebody a liar here?
The correct statement is not:
it is really more like:
What you've found is a counterexample to certain formalizations of (1); you have not found a counterexample to statement (2).
In fact, you have done more than this. Here's what you've done: Let $h$ denote an infinitesimal number in whatever extension-by-infinitesimals $\mathbb{R}^*$ of the real line $\mathbb{R}$ that you prefer. Then $\mathbb{R}^*$ will also tend to have a subset $\mathbb{Z}^*$ of integer-like elements. Then it will tend to be the case that for all $x \in \mathbb{R}$, there is some $n \in \mathbb{Z}^*$ we have that $nh$ is infinitesimally close to $x$. This implies that the elements of $\mathbb{Z}^*$ cannot be put into a list that is indexed by $\mathbb{N}$. In other words, you've shown that $\mathbb{Z}^*$ has quite a lot of elements!
Now for a bit of history. Two of the most surprising discoveries of early set theory were:
Some sets have the property that their elements cannot be put into an $\mathbb{N}$-indexed list. (See also: Cantor's theorem.)
There's a generalization of the natural numbers called the ordinal numbers, and if we allow our lists to be indexed by ordinal rather than natural numbers, then amazingly, every set $X$ can be put into list form! (See also: well-ordering theorem).
Both Cantor's theorem and the well-ordering theorem were very controversial in their days. I suggest Googling the history of these ideas, its all really quite interesting.