I know it is fun to get excited about hazards, but as engineers (or hobbyists) we shouldn't replace science with sensation. Rik probably has a magnesium alloy and these have been extensively used in high performance engines and aircraft, where weight is a premium, without undue hazard for many years.
Magnesium powder is a very different hazard from solid magnesium alloy. When magnesium is combusting it will react with oxygen, CO2, water and even nitrogen, which is why only a dry sand will extinguish it.
A thin piece shaved off an alloy can be ignited in a hot flame because you have taken it beyond its melting point, but it is difficult to ignite a solid lump because even if one corner is molten the larger portion will take the heat from any combustion. It can be cut with machine tools but grinding is not sensible as the fine dust is the fire hazard. Welding and casting are for experts, but I think it is TIG welded with a normal argon gas shield.
Lots of materials go bang if you make them fine enough or hot enough.
Norm.