Magnesium fire starters are just fine but you have to understand the magnesium is really no substitute for proper tinder. All it does is make sure the tinder ignites reliably (even if it's slightly wet and not prepared perfectly).

Yes, the shavings have to be sheltered from the wind, just like any other tinder. If you need something more convenient, get a Zippo or a windproof butane lighter. I carry the magnesium block only for backup and in that regard, it's every bit as good and probably better than a plain ferro rod.