R-C≡C-I + Mg → R-C≡C-MgX
The problem is that electron pairs of Iodine will conjugate with the triple bond and make the magnesium insertion, very difficult. However, vinyl Grignards from vinyl halides (that behave the same way) can directly be prepared by the Normant method.
1). Org. Synth. 1959, vol. 39, p.10, (1959)
http://www.orgsyn.org/demo.aspx?prep=cv4p02582). Org. Synth. Coll. Vol. 4, p.258, (1963)
http://www.orgsyn.org/Content/pdfs/procedures/cv4p0258.pdfSo, try to do something similar or modify the conditions. It may work.
PS1: Take care of any exothermic or vigorous reaction.
PS2: Pay attention to an adequate activation by adding a small crystal of iodine or traces of Pr-MgCl
PS3: If you need higher temperature, you can use anhydrous glyme (1,2-dimethoxyethane) with bp = 85 °C. Glyme and higher glymes are water soluble that makes extraction difficult. So, you need to saturate the aqueous phase with NaCl, during extractions.