This is probably a question I should have asked myself a bit earlier. For some reason I always thought I knew the answer so I did not bother, but now that I actually need to use it (I am studying the $+$ construction on presheaves) I realize I am not really familiar with this.
So, what is a colimit of sets, formally?! Let $F:\mathcal{D}\to \mathbf{Set}$ be a diagram in $\mathbf{Set}$. What is $\mathrm{Colim}\;F$ ?
I believe (am I right?) that if $\mathcal{D}$ is filtered, then the colimit coincides with the direct limit, but what is it in the general case? Thanks!
Limits and colimits don't coincide in $Set$. Just like any colimit, it suffices to understand coproducts and coequalizers. A coproduct of a family $\{A_i\}_{i\in I}$ of sets is their disjoint union. More formally, take $$X=\bigcup_{\{i\in I\}}\{i\}\times A_i$$with the obvious injections $A_i\to X$. Then $X$ is a coproduct. Let me know if you need help figuring out coequalizers.