I've tested both, and they felt pretty much even to me... at least compared to a real fire steel like a swedish fire steel (this is what I carry). I think larger steels are better suited to ignite natural tinder. They also last longer and spark hotter than the magnesium ones.
You can find some pure magnesium in many places if you want to use it as tinder. I carry a small piece of it from an old VolksWagen engine block (they used to be made in magnesium). Cost me about 5$ and I've got roughly 4 pounds of the stuff. It ignites perfectly well.
Cheers,
David