I don't think this is a good description of mathematicians using infinite objects. It typically doesn't involving something being given the label "infinity". That's used in like, taking limits and such, but there it is just a notation.
When mathematicians are working with infinite objects, it is not by plugging in "infinity" somewhere a number should go, in order to imagine that the rule that would construct an object if that were a number, constructs an object. No. Rather, (in a ZF-like foundations) the axiom of infinity assumes that there is a set whose elements are exactly the finite ordinals. (Or, assumes something equivalent to that.) From this, various sets are constructed such that the set is e.g. in bijection with a proper subset of itself (there are a handful of different definitions of a set being "infinite", which under the axiom of choice, are equivalent, but without AoC there are a few different senses of a set being "infinite", which is why I say "e.g.").
In various contexts in mathematics, there are properties relevant to that specific context which correspond to this notion, and which are therefore also given the name "infinite". For example, in the context of von Neumann algebras, a projection is called a "finite projection" if there is no strict subprojection that is Morray-von Neumann equivalent to it. Or, in the context of ordered fields, an element may be called "infinite" if it is greater than every natural number.
Usually, the thing that is said is that some object is "infinite", with "infinite" an adjective, not saying that some object "is infinity" with "infinity" a noun. One exception I can think of is in the context of the Surreal Numbers, in which the Gap between finite Surreal Numbers and (positive) infinite Surreal Numbers, is given the name "infinity". But usually objects are not given the name "infinity", except as like, a label for an index, but this is just a label.
I suppose that in the Riemann sphere, and other one-point compactifications, one calls the added point "the point at infinity". But, this kind of construction isn't more "make believe" than other things; one can do the same "add in a point at infinity" for finite fields, as in, one can take the projective line for a finite field, which adds a point that is doing the same thing as the "point at infinity" in the complex projective line (i.e. the Riemann sphere).