After sending a query GRRM’s way, he has posted that the Magheramorne Quarry in Northern Ireland, which was reported to be the site of a “massive castle” set, will be where the exterior set for Castle Black will be made. As GRRM notes, much of the castle will be done through CGI (including the Wall, of course), though there will be an operational winch and other such things at the site.
Finally, George asks fans not to visit the site, noting that the set will look very little like what will appear on screen, and that quarries can be dangerous.