Hybrid nanoscale materials are nowadays focus of intensive scientific and industrial research pushed by expectations from fields as diverse as microelectronics and medicine. One of the challenges faced by these materials before getting into applications is the development of methodologies capable of processing them into thin films. Moreover, bottom-up manipulation of objects while controlling position and inter-particle distances has made possible the construction of assemblies with properties tailored at the nanometer level. This review summarizes new approaches carried out in the field of colloidal magnetic nanoparticles and their composites with polymeric matrixes. A special emphasis is placed on the understanding of fundamental issues, such as the effect of nanocomposite's morphology on the collective magnetic properties as assessed by experimental and simulation procedures. Technological applications leading to future developments with these nanomaterials, as for instance chemical sensorswill also be highlighted.