I started taking magnesium supplements not too long ago, maybe a few months ago the most. This correlation you speak about is pretty well known to health nuts and not so well known to everyday modern day people - lol, that's why there's naturopathic doctors to be thankful for! I read about it on the internet being beneficial to anxiety, so, heck, why not. I'm a homeopathic believer and stand behinds it's philosophy which is to help the body boost it's natural ability to heal itself without suppressing the symptoms of an illness. So, you've got nothing to loose really, unless you're taking medications...which are known to interact with a lot of natural supplements.
Anyways, magnesium is good for you. It's found in dark leafy green veggies and nuts, so, we're suppose to eat this stuff every day to help us stay healthy, so, there's nothing wrong in taking extra supplements, hence, the word supplement.
Oh, something really good you should look up is called Natural Calm. It's a magnesium drink...it tastes pretty good, nothing heavy, pretty light. I just started using it instead of my big magnesium horse pills...lol, i choke easily on big pills, they make me nervous, and i find it very relaxing and soothing and enjoyable.
Hope this helps.