[step:Identify $X_i$ as the double coset $C_G(g)\, g_i\, H$]
Fix $i \in \{1, \ldots, m\}$. Since $x_i \in \mathcal{C}_G(g) \cap H \subseteq \mathcal{C}_G(g)$, there exists $g_i \in G$ with
\begin{align*}
g_i^{-1} g\, g_i = x_i.
\end{align*}
Such a $g_i$ exists by definition of the $G$-conjugacy class $\mathcal{C}_G(g)$, but is not unique — we fix one choice.
**Inclusion $C_G(g)\, g_i\, H \subseteq X_i$.** Let $c \in C_G(g)$ and $h \in H$. We compute
\begin{align*}
(c g_i h)^{-1}\, g\, (c g_i h) = h^{-1} g_i^{-1} c^{-1}\, g\, c\, g_i h = h^{-1} g_i^{-1} g\, g_i h = h^{-1} x_i h,
\end{align*}
using $c^{-1} g c = g$ (since $c$ commutes with $g$) and $g_i^{-1} g\, g_i = x_i$. Now $h^{-1} x_i h \in \mathcal{C}_H(x_i)$, so $c g_i h \in X_i$.
**Inclusion $X_i \subseteq C_G(g)\, g_i\, H$.** Let $x \in X_i$. By definition, $x^{-1} g x \in \mathcal{C}_H(x_i)$, so there exists $h \in H$ with
\begin{align*}
x^{-1} g x = h^{-1} x_i h = h^{-1} g_i^{-1} g\, g_i h.
\end{align*}
Rearranging,
\begin{align*}
g\, x = x\, h^{-1} g_i^{-1} g\, g_i h \qquad \implies \qquad g\, (x h^{-1} g_i^{-1}) = (x h^{-1} g_i^{-1})\, g.
\end{align*}
That is, $x h^{-1} g_i^{-1}$ commutes with $g$, hence lies in $C_G(g)$. Set $c := x h^{-1} g_i^{-1} \in C_G(g)$. Then
\begin{align*}
x = c\, g_i\, h \in C_G(g)\, g_i\, H.
\end{align*}
Combining the two inclusions, $X_i = C_G(g)\, g_i\, H$.
[/step]