This Letter describes a simple, continuous, and generalized method to prepare nanomagnets dispersed in dense submicrospherical silica cages. The method exploits the subtle interplay between the parameters controlling particle formation in aerosol pyrolysis processes. We find that the magnetic properties of the composites can be easily tuned so as to produce suspensions that display reversible sedimentation behavior in an applied magnetic field gradient. Our results indicate that this material can be used for chemical separation in medicine, biology, and environmental protection.