The problem with storing magnesium shavings is that, as Max pointed out, they are far more likely to oxidize in that form, and you may end up with worthless magnesium oxide shavings when you really need a fire.

I find the Coughlin's and Doan's mag-flints too large for everyday carry, but you can buy smaller mag-flints that aren't much bigger than a standard key-fob.

You'll never get a pile of magnesium shavings in even a light breeze unless you have a sheltered area to catch them in. The only time I've ever successfully used a mag-flint block outdoors, I used a metal biscuit tin to collect the shavings, and was then able to set a piece on newspaper on fire with them. If I didn't have a biscuit tin, I would try digging a hole in the ground in the most sheltered spot I could find.

But the ferrocerium rod by itself is usually more than enough to ignite any decent tinder, even without the magnesium shavings.