I am having trouble seeing why the Axiom of Infinity is necessary to construct an infinite set. According to a professor of who's mine teaching a class on "infinity," the Peano axioms are only adequate to establish the existence of all of the natural numbers, but not also that there is an infinite set consisting of them. To do so, we must stipulate not only the Axiom of Induction, but that there also exists an inductive set (via the Axiom of Infinity).
So, why does the existence of an infinite set of the natural numbers not just follow from the existence of all of the natural numbers?
BrianO's answer is spot-on, but it seems to me you may not be too familiar with models and consistency proofs, so I'll try to provide a more complete explanation. If anything it may better steer you towards what you need to study, as admittedly I'm about to gloss over a lot of material.
Why do we need the axiom of infinity? Because we know (and can prove) that the other axioms of ZFC cannot prove that any infinite set exists. The way this is done is roughly by the following steps:
Thus we must conclude that our hypothesis $ZFC^* \vdash Inf$ is false and there is no proof of $Inf$ from the other axioms of ZFC. $Inf$ must be taken as an axiom to be able to prove that any infinite set exists.