"Magnesium" rims are not magnesium anymore because of that (and also because they would get micro fractures and cause the wheel to fail), they are aluminum alloys.
Mostly true, but you can still find rims made of ZK60 magnesium alloy, especially on customized higher-end cars. My brother used to work at a metal shop that would custom-machine rims from this metal. He kept me well supplied in magnesium chips. One rim was made off spec...
Shaving an aluminum alloy rim down into flakes/power will also give you a lovely flare to signal with.
-Blast