You need to say more about your sample type and what you are trying achieve before we can give any constructive advice.

Well, the universal method is dimpling + pips

Of course, the best way is FIB, but if you are not equipped by FIB as me, then you have to rely on electropolishing or chemical thinning. I never tried to prepare Mg foils but if I would like by these ways I will affraid of strong oxidation potential of Mg and its alloys. I have got some recipes for chemical and electrochemical thinning dedicated to Mg. Here you are:

Mg and its alloys:

Chemical thinning:

- 2 to 15% HCl in H2O or CH3OH at room temperature

- 2 to 15% HNO3 in H2O or CH3OH at room temperature

Electrochemical thinning:

- 33% HNO3, 67% CH3OH

- 20% HClO4, 80% C2H5OH at 10°C and 10V

- 1% HClO4, 99% C2H5OH at -55°C

I hope some of these will be working well.