As has been said, the PS3 sled works well also.. BUT I have a new addition ;D. Try one of the DT0811 sleds. Out of the three, it burned the whitest of all.. It lit up the side of the house even in the sunlight . It only burned for about 30-40 seconds until it was reduced to a pile of powder though..
Just be careful if you're lighting this with a blowtorch or other thing where you're in close proximity. I was bored one night and did it on my porch and was lighting a small piece of the heatsink and it exploded on me! Didn't really do more than scare the crap out of me, but I did get a few singe marks on my skin where little pieces of the burning metal landed on me. It looked pretty awesome looking back, but definitely wouldn't have been awesome if one of those burning pieces hit my eye
Dont burn magensium objects anywhere near something of value (like your house)!
Keep in mind that magnesium fires are nearly impossible to put out, and the only thing you can usually do is just let the stuff burn up completely.
Once on fire magnesium violently reacts with both carbon dioxide and water, rendering the usual extinghuishers completely useless - trying to put it out often makes it worse.