Try researching Boron (helps the body retain magnesium/calcium), it has several indications in anxiety issues. Also, you may consider light doses of niacin (full-flushing) with olive or cod-liver oil for neurological support.
Both have given me rather good results- I felt best at 9mg of chelated boron, and my metabolisim has been helped a lot by niacin with meals (30-100 mg of nictonic acid, aka B3).
Vitamin B3 governs how much healthy fats you can absorb via the intestinal wall, and fats of that sort have a LOT to do with neurological health.
BTW, in my own mind, adverse reactions to magnesium make me wonder if it is making the body jump the gun in releasing toxins from tissues..? Magnesium is a substance that helps cells take in what they need and excrete what they don't. Perhaps the magnesium you take in when you supplement is pushinng out more toxins than your liver can clear in one go? I'd stick to transdermal Mg application, like Epsom Salt footbaths and magnesium-oil rubbing before showers. Do you end up with the cramps and all when you do a footsoak and the like?