There are only a countable infinity of arithmetic progressions, so list them as $A_1,A_2,\dotsc$. Then write out a list in which each $A_i$ occurs infnitely many times, e.g., $A_1,A_1,A_2,A_1,A_2,A_3,A_1,A_2,A_3,A_4,\dotsc$, Rename this new list as $B_1,B_2,B_3,\dotsc$. Now go through the $B_i$, taking one previously unused term from each to put into $X$, and one previously unused term from each to put into the complement of $X$. When you're done, $X$ will have infinitely many terms from each AP, and so will its complement. There may be some naturals left over, not having been selected for either $X$ or its complement; put them wherever you like, it makes no difference.
EDIT: As user @bof notes, the question has to do with set theory, not arithmetic. But I reckon we can bring it back to arithmetic by letting $X$ contain the even numbers between $1$ and $10$, the odd numbers between $11$ and $100$, the evens between $101$ and $1000$, odds between $1001$ and $10000$, and so on.