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.
If you get too close to a wild one that used it's special ability (a charge that will set it on fire and aggravate nearby dinos) it'll display a message saying "getting hot! Stay away!!!!" and that will set you on fire. Don't approach unless you know you're prepared.
The magmasaur has a very very bad turning radius when trying to kill one try to continuously try to be behind it. It’s flaming aura when using its spit will hurt you, the magmasaurs body will become in fire whilst doing this attack that will be your warning. Magmasaurs also come in packs of 1-3 so if you hit one another one will most likely be there