I've done a fair amount of mag machining for satellite use. But, I don't play a doctor on TV, so YMMV:
1) No water-based coolant. Some use mineral oil, I cut dry, conservatively in speed, faster in feed to keep chips a big as possible.
2) Sharp tooling, I like fresh carbide, two or three flute endmills, low helix. Drills are a little trickier without coolant, but bigger drills the same - slower speed, faster feed, and modest pecking to make sure chips can't pack. With small drills careful use of an air blast may help. Watch for dulling!
3) PROVE OUT the program. No crashes or other events that could cause heat or sparks allowed.
4) Frequent cleaning of the machine to limit chip build. No more than 5-gallon steel buckets (metal covers!) for mass storage, keep outside away from anything important and separated from each other. You can make "bunkers" by stacking paving blocks or similar between buckets. Keep water or rain away, so at least a good shed is recommended. Extinguishers of the right type at the machine and near the shed.
5) Mag has a very low modulus of elasticity for a metal, so be careful fixturing parts. Don't over-tighten the vise, but be sure the part can't come loose. Mag can sometimes have the same tendency to "self feed" that brass and acrylic do. If you mod drills don't go for a vertical chisel edge, a slight rake is good. Sharp too!
I made an isolation bucket (5-gallon) so that I could run a Shop-vac but not have the chips build up in the vac itself. I used conductive hoses to minimize risk of static causing a spark, be sure to ground the hose. Empty into long term storage frequently. Change the filters when they get at all clogged, don't try to cheap out here.
Check with the local fire department to see if there's regs for storing mag in your area. At the least, they would want to know what they're dealing with if you ever have to call them. Check with your insurance co, make sure you're covered. If you need a special rider get one, add that to the cost of work.