We have recently introduced a new approach in the utilisation and actuation of liquid matrices inside microstructured optical fibers, by infiltrating in their capillaries magnetically active fluids, namely, ferrofluids. The specific optofluidic approach provides the possibility of actuation of the infiltrated liquid by applying an external magnetic field, thus, exhibiting magnetofluidic capabilities. We apply this infiltration protocol in microstructured optical fiber Bragg gratings for developing magnetic field tunable/sensitive photonic devices and sensing probes. The material and implementation considerations related to this infiltration approach of viscous and opaque ferrofluids inside microstructured optical fibers, and the corresponding effects on the guiding and scattering behavior of the microstructured optical fiber Bragg gratings are presented and discussed. An updated review on this infiltrated microstructured optical fiber devices will be presented, focusing on the demonstration of simple magnetofluidic configurations such as "on-off" Bragg grating trimmers, "infiber" magnetometers, ferrofluidic defected Bragg reflectors and external magnetic field modulators. The design principles of such "in-fiber" magnetofluidic photonic devices will be analysed, along with their particular functionalities and application prospects; while in addition, the infiltration and fiber capillary functionalisation processes will be presented.