"The magic is a little like a set of clothes but it's not physical and it isn't just outside your body it also stretches through it. It's designed to stay with you but it's also designed not to hurt you as it's removed if you go to some other world and meet someone or something that can take it from you. Obviously, that's not a guarantee and ideally you won't run into anyone like that but it's a contingency that was planned for. It's also possible for the pillar to remove the magic if you decide you don't want it but it'll never do that unless you specifically want that.
As for what the magic does there's several parts to it. The enhancements will improve your body so you can move faster, exert more force and be physically active for longer stretches without tiring. It also primes your body to interact with certain magical foods and potions and talismans that will further enhance you either temporarily or permanently.
The sensory package gives something like a second sense of sight it'll let you see things all around you regardless of what direction you're facing and in some cases you'll be able to see through walls if the area behind them is lit. You'll be able to turn that on and off so if it's overwhelming you can ease yourself into it.
The pocket dimension is able to store about a hundred different slots worth of items. You can find ways to improve it's capacity though. Most items stack pretty high but talismans and weapons don't stack. You'll also have 10 slots of quick access that let you materialize items in your hands with only a thought. The full pocket dimension takes longer to access.
Finally, the well is a pool of mana you can use to power certain magical weapons and tools you find in this world. You might be able to use it for other purposes if you have magic from elsewhere but I can't make any guarantees."