They can be found almost everywhere in the volcano biome however the nests that contain the eggs are located inside the volcano. Easiest entrance inside is next to the "Egg-straction" mission beacon. The nests are located in pools of lava a nest can hold anywhere from 1 to 3 eggs. The lava pools tend to have minimum 1 dozen adult magmasaura that will start hurling fireballs in your direction once you take a single egg. They are quiet slow moving a ferox will be useful in getting in and escaping. The pools of lava aren't an instant kill.

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