When colloidal suspensions of magnetic particles are submitted to a magnetic field they undergo a phase separation with the formation of high-density domains whose structure depends on the initial concentration and on the intensity of the applied field. The shape of these domains and the mechanism which explains their formation is quite different from what happens in ferrofluids or in ferromagnetic solids where the surface tension associated with the boundaries of the domains plays a major role. We report experimental results concerning the size of the domains, the critical field associated with this phase separation and some dynamical aspects of the transition. These experimental results are predicted by a simple model based on the estimation of the magnetic energy in a mean field approximation with the structural unit represented by an ellipsoidal aggregate inside a cylindrical cavity. The similarity with structure formation in electrorheological fluids is qualitatively demonstrated