There are two claims in the last sentence: that $N$ is finite-index and that $N$ is normal. The first claim follows from Does the intersection of two finite index subgroups have finite index? and induction on $t$ (note that $gHg^{-1}$ is a subgroup of $G$ of index $[G:gHg^{-1}]=[G:H]$ for each $g\in G$).
For the second claim, choose $g\in G$ and $n\in N$. We wish to show that $gNg^{-1} = N$. We have:
$$ gNg^{-1} = g \left( \bigcap_i g_i H g_i^{-1}\right) g^{-1} = \bigcap_i (g g_i) H (g g_i)^{-1} $$
It would be easier if instead of what you had written, the $g_i$s are coset representatives on the other side, and so that's what I will assume: $G = g_1 N_G(H) \cup \dots \cup g_t N_G(H)$. Then for each $i$ we may factor $gg_i = g_{j(i)}m_i$ for some $j$ depending on $i$ and $m_i \in N_G(H)$. Then
$$ (g g_i) H (g g_i)^{-1} = g_{j(i)}m_i H m_i^{-1} g_{j(i)}^{-1} = g_{j(i)} H g_{j(i)}^{-1} $$
since $m_i$ normalizes $H$. Therefore:
$$ \bigcap_i (g g_i) H (g g_i)^{-1} = \bigcap_i g_{j(i)} H g_{j(i)}^{-1} \supseteq \bigcap_j g_j H g_j^{-1} $$
A priori, the last containment might not be an equality: the intersection over $i$ is equivalent to the intersection over only those $j$ of the form $j(i)$ (the function $j(i)$ depends on the choice of $g$), whereas the right-hand side intersects over possibly more $j$s, and so can result in something smaller.
But this does prove that $gNg^{-1} \supseteq N$ for all $g\in G$. In particular, $g^{-1}Ng \supseteq N$, but conjugating by $g$ shows $N \supseteq gNg^{-1}$. This completes the proof.