Just a quick check but I assume you've tried to activate the Mg with either iodine or 1,2-dibromoethane?
I haven't made Rieke Mg, though I have made Rieke Zn from Li, naphthalene (catalyitc) and ZnCl2. It's always nice to buy it if you can, but it's expensive. The total prep time for me my second time around was less than 4 hours start to finish.
If the Mg prep is anything like the Zn prep you'll probably want a sonicator (I have to constantly sonicate the lithium and naphthalene together throughout the prep to get it to stay green which indicates the formation of the lithium naphthalide) and a syringe pump (the ZnCl2 was added to the lithium naphthalide over 1.5 hrs). I also fused the ZnCl2 three times to make sure it was anhydrous.