Magnesium is a muscle relaxant and is prescribed by many doctors as a sleeping aid. Magnesium also helps alleviate the symptoms of PMS. Many people believe that it also helps improve the immune system and use magnesium to treat the common cold. Magnesium supplements are usually taken in tablet form and are often taken with calcium because a lack of magnesium can also lead to a calcium deficiency. A lack of magnesium can lead to cramps, anxiety, fatigue, and nausea.