If space were not at a premium I would happily carry the mag bar. But it is, so I don't. I agree with the others that you are much better off using the extra space for Wetfire, Tinderquick, or treated cotton balls than relying solely on the mag shavings.

That said, the last mag bar I carried I cut about 2/3 of the magnesium portion off with a hacksaw. That left enough magnesium to still be useful while saving a bunch of space. A cut-down mag bar plus some other tinder would give you the option of using either one.