Think of the R group as R- with a counter ion MgBr+. According to my organic chemistry textbook (Clayden, Greeves, Warren, Wothers, Organic Chemistry, OUP) the mechanism of insertion isn't precisely known, but they give the diagram that i have attached. It is an Oxidative addition mechanism because the Mg goes from (0) to (II). The certain thing is that the reaction starts between the metal and the halogen.
[edit] That is meant to look like the arrow coming from the Mg is coming from a lone pair.