Magnesium rims are extremely light, but they are also much softer metal than aluminum and steel. Also, one experiment you can try (I won't do it though) is that you put some acid on the magnesium rim and then light a match. You will realize why they switch from Hydrogen to Helium for the air ship
Bottom line is magnesium are good if you want to save weight, but look out for damages if you do end up getting them.