Building a Command Line Interface (CLI) application in Go begins with creating a straightforward project to count words in a text file. The initial step involves setting up a directory for the project and initializing a Go module, which effectively manages dependencies through a `go.mod` file, akin to a `package.json` in JavaScript. After establishing the project's foundations and creating a simple "hello word counter" output, the lesson emphasizes the importance of version control with Git, guiding through the process of setting up a repository and creating a `.gitignore` file to manage untracked generated files properly. Ultimately, the course sets the stage for more advanced features to be added in future lessons, starting with learning how to read data from a file in the next stage.