There are different ways of reducing the sting sometimes experienced when using magnesium oil. You can dilute it 50-50 with purified water (and gradually reduce the water as your tolerance increases). An easy way to do this is to use a spray bottle to measure dilution accurately.
Also, you can apply magnesium oil full-strength to your skin, wait 10-15 minutes until it is absorbed, and then wipe it off with a damp washcloth. Or try applying it on less sensitive areas of the body, perhaps calves or feet, and avoid more sensitive areas like the face. Again, you will develop a tolerance, especially on the areas where you apply it most frequently. You can also add it to your favorite body lotion, or make your own lotion (try mixing it with sweet almond oil or coconut oil and aloe vera gel).
Another good option is using the oil (or try magnesium flakes) in a bath. You will get similar benefits without any sting, or much less of it. This is a good choice for people with sensitive skin. It is also an effective choice for those who want to use it directly on their skin, but who have not yet developed tolerance for using it every day, or for multiple applications per day. As you develop greater tolerance, direct application will be easier.
I personally use Ancient Minerals magnesium oil. It seems to produce the least sting among all magnesium oils.