\documentclass[a4paper]{report}

\usepackage{makeglos}

\makeglossary

\begin{document}

\pagenumbering{roman}
\printglossary

\chapter{Introduction}
\pagenumbering{arabic}

This is where I define the notation for a set $\mathcal{S}$
\glossary{set: a collection of objects}.

\clearpage

This is where I define the cardinality of a set $n(\mathcal{S})$
\glossary{cardinality: the number of objects in a set}

\clearpage

This is where I define the universal set $\mathcal{U}$
\glossary{universal set: the set containing everything}

\end{document}
