Thanks to Richard Stanley and Kevin Buzzard for independently drawing my attention to this thread.
Such constructions are often easier on a half- or quarter-infinite board: the board edges are useful and also let us adapt more patterns known from the orthodox $8 \times 8$ game. I'll show that a known theoretical position with only two men on each side becomes a "checkmate in $\omega$" on a quarter-infinite board. I'll also show for each natural number $N$ two routes to "checkmate in $N\omega$" on a half-infinite board. I think one of them should adapt with some more work to chess on the edgeless square lattice.
On an infinite board even K+Q vs. K is not sufficient mating material against a lone King, while on a quarter-infinite board it is well known that K+R still suffice, with a mate of bounded length given the positions of the Kings (I think this is even in Winning Ways). Since mate in $\omega$ also requires Black to have a long-range piece, the minimum conceivable material is K+R vs. K+B. I claim that this is sufficient!
In the orthodox game K+R vs. K+B is usually an easy draw, but there are some known nontrivial wins. One standard example is Kb3,Rc2 / Kb1,Bc1. I claim that if we set this up on a quarter-infinite board with Black to move then White forces checkmate in $\omega$ moves.
White's winning plan is to play something like Rh2, Rh1, and then a waiting move like Rf1 to force Black to play Ka1 when Rxc1 is mate. (That's why this wouldn't work shifted one square left.) On the $8 \times 8$ board Black can postpone this for only a few moves. For example, if Bf4 then Rf2 and if Black saves the Bishop then Rf1 etc. (best is Kc1 but we know that after Rxf4 White wins in $O(1)$ moves). Black does better with Bg5, so after Rg2 Black can play Be3 to prevent Rg1; but White continues with Re2 and next move either takes the Bishop or initiates the mating pattern with Re1. Note that if White went to a "random" spot on the second row Black would escape with Kc1; that's why it's important to move to the file the Bishop is on.
I observed some years ago that on an $n \times n$ board the same position is checkmate in $\log_2(n) + O(1)$ moves, which seems to be the maximum for K+R against K+B. For example, with at least 11 columns and 9 rows, Black could hold on to his Bishop for an extra move by starting Bk9, so that Rk2 can be answered with Bg5 holding k1. But then Rg2 reduces to a previously solved problem. On our larger board Black can answer with either Be3 or Bi3, but Re2/Bi2 etc. wins as before. To survive one more move than that, Black would have to start by moving the Bishop 16 squares out, etc.; in general if Black moves to row $k+1$ then White checkmates in $v_2(k)+O(1)$ moves (where $v_2$ is the 2-adic valuation). So on a quarter-infinite board we get checkmate in $\omega$ as claimed. With some more effort (and a lot of added passive pieces) I think one can make this work on the edgeless board by contriving an artificial corner around a1.
EDIT See my subsequent answer for a variant of this position with K+R vs. K+B+P on a quarter-infinite board thats mate in $2\omega$, and might be extended to $3\omega$, $4\omega$, etc. with more pawns. TIDE
(I think the theoretical position Kc3,Qd1/Ka2,Rb2 is likewise a White win in $\log_2(n) + O(1)$ on an $n \times n$ board, and thus in $\omega$ on a quarter-infinite board, but the analysis is harder and it might be harder to adapt to an edgeless board.)
To get checkmate in $N\omega$ for arbitrarily large $N$ on a half-infinite board, set up something like the following, suggested by K.Buzzard's e-mail. I assume the board edge is horizontal, but much the same works with a vertical edge. Give Black Ka3 and Rb2 and White Ka1 plus a few Queens and about 3N pawns: use the pawns to fill a rectangle of 3 columns and about $N$ rows starting somewhere above the third row, and in the middle column replace each of (say) the second, third, and fourth pawns with a Queen. White will win after moving $N + O(1)$ pawns in one of the outer columns, after which the bottled-up Queens escape and finish Black off. After each pawn move, Black gets to move his Rook arbitrarily far along the second row, threatening mate; White will have to move his King one step at a time, pursued by Black's, until reaching the Rook to get a "tempo" for the next pawn move: 1...Rz2 2 Kb1 Kb3 3 Kd1 Kd3 4 Ke1 Ke3 ... Ky1 Ky3 and now another pawn move.
I don't know how to adapt this construction to an edgeless board. So here's another approach. By the vertical edge of the board, set up a position with the Black King and some White and Black pawns, none of which can move except for one White pawn that will give checkmate in $N$ moves. Surround this with a Black shell of pieces surrounded by pawns that the White King cannot penetrate and that cannot unravel within $N$ moves to either escape or stop the mate. Outside that shell put the White King and a Black Rook. $N$ times Black will choose how far out to play the Rook to harass the White King with horizontal checks.
EDIT See below for an explicit construction of mate in $N\omega$ with a fixed number of pieces on a ${\bf Z}^2$ board. TIDE
This doesn't work as it stands on an edgeless board because the White King can hide around the shell in $O(1)$ moves rather than go after the Rook. But I think something similar should succeed, using a protected but pinned Black rook to substitute for the vertical edge.
NDE

