If you are using the magnesium chloride to make a 2-part or a DIY supplement, using it as is likely is close enough. Heating it will drive off the water, but I don't know how much would go or how long it'd take. Magnesium chloride products we get usually are magnesium chloride hexahydrate, that is, with 6 water molecules attached. I don't know how easy it might be to convert what you have to that or the anhydrous form. I can do some looking if you want to do this, but I'm not sure that baking it is worth the effort.