An infinite CW complex is defined, e.g. in Hatcher's algebraic topology book, as a (countable) union of its $n$-skeleta $X^{n}$, where each $n$-skeleton is identified as a subset of successive $m$-skeleta with $m>n$. How does one make sense of this rigorously at the set theory level?
As we form new skeleta, at each step we have a space that is a priori disjoint (at the set theory level) from all the preceding spaces, being formed as a quotient of a disjoint union involving the previous space. What we want is some sort of "limit" of this infinite chain of spaces, but strictly speaking that's not what a union achieves. The union will not automatically identify skeleta with their homeomorphic images in higher dimensional skeleta. One way to proceed (I suppose) is to take the union and then take a quotient to identify all homeomorphic images of each $n$ skeleton. Is this the proper way to construct an infinite CW complex?
The definition presented in Hatcher suggests that it is possible to identify a space $X^n$ with a subset of some universal set such that we can just take a union at the end to get all the skeleta. However, I know of no set-theoretic way of doing this rigorously.
There are at least two ways of defining a CW complex:
So in this definition we start with a global $X$ space and construct its CW decomposition inside it. With this the $n$-skeleta $X^n$ is simply defined as union of all cells of dimension at most $n$. This definition also makes inclusions, unions and limits trivial.
But there is an alternative approach: we start with small building blocks and add cells at each step:
The direct limit (by definition) comes with continuous functions $h_n:X^n\to X$. It can be shown that in this situation these functions are closed embeddings. And so we can identify $X^n$ with its image $h_n(X^n)$. By the same $h_n$ we transfer cells into $X$. In that situation the weak topology (meaning a subset of $X$ is closed if and only if its intersection with each cell is closed in the cell) is guaranteed by the construction.
So in order to fully understand the construction you have to learn what direct limit is and how it works for topological spaces (which is simply set-theoretic direct limit with final topology generated by $h_n$). I encourage you to read the linked wiki thoroughly.