I thought this tip was crazy when I first heard about it as well, but I looked it up on Makeup Alley, where hundreds of girls have written about it in product reviews and on various forums. There are also quite a few YouTube videos about how to do this properly.
I've been doing this for a few weeks. I bought Phillips MoM, but that was because the Walmart brand was out of every size except what appeared to be a full gallon. I didn't want a gallon. It's best to buy the Original flavor, but if you have to buy a flavor make sure that it does not contain Mineral Oil, since this can cause clogged pores and breakouts.
I apply the MoM as soon as my daily moisturizer has fully absorbed. Shake the bottle well and pore a small amount into the plastic cup that comes with the MoM (you don't want to get bacteria into your bottle, so excess from the cup should just be washed down the sink). I dip my finger into the cup and apply a small amount across my nose, onto the center of my cheeks and up onto the center of my forehead. Only apply to the areas that you get oily. I rub in until I can't see it, and then give the MoM a minute or two to dry. Areas that have too much MoM can get a white chalky residue, just rub this off.
You can apply makeup directly over the MoM, but I find that foundation applies more easily if I apply a primer first.
Using Milk of Magnesia has dramatically cut down on shine for me. Much more so than any primer, oil absorbing product or powder ever has in the past. I no longer need to repowder my t-zone during the day, my face stays matte all day long.