Magnetic colloids in external time-dependent fields are subject to complex induced many-body interactions governing their self-assembly into a variety of equilibrium and out-of-equilibrium structures such as chains, networks, suspended membranes, and colloidal foams. Here, we report experiments, simulations, and theory probing the dynamic assembly of superparamagnetic colloids in precessing external magnetic fields. Within a range of field frequencies, we observe dynamic large-scale structures such as ordered phases composed of precessing chains, ribbons, and rotating fluidic vortices. We show that the structure formation is inherently coupled to the buildup of torque, which originates from internal relaxation of induced dipoles and from transient correlations among the particles as a result of short-lived chain formation. We discuss in detail the physical properties of the vortex phase and demonstrate its potential in particle-coating applications.