I don't think that you should tell him, just go shopping with him, suggest trying a different brand, something a bit smaller. As a woman, I know that you have ways of rewarding him for a job well done, you should convince him that the new brand is more sensual for you. Hope this helps!!!
You need to consider the time and place where you will tell him, don't choose a crowded place and especially when he is with his friends. Evaluate your reasons as to why he doesn't fit, speak to him in a soft and humble tone. Even if you politely correct the individual, you can't control how he'll respond; you will have to accept the outcome.
Most people don't fit into a Magnum. The next time you are intimate, try slipping on a regular condom. You could do the condom shopping next time. Make up something like they are too expensive. Or you could try telling him the Magnums don't turn you on and are actually a turn off. One of these may work. There was a stunt on a local radio show here in Fresno. They took a Magnum condom and they stuffed a two foot sandwich inside and the condom still had room!