Leave it under the flame for longer - preferably on the tip of the cone of a blue flame (it's hotter there) - Don't take it out when it glows, just let it get hotter -- it will suddenly give off an amazing bright, piercing white light which will make you go "WOOOW thats nice"
My chem teacher back at school burnt some in a gas jar of pure oxygen. I loved burning Mg so much I asked here if I could Have a go - flouting all health and safety regs she said "well aright then, but be carefull" -- excellent! Bit scary at the time but beautiful.