The Compton profile, projection of electron momentum density distribution along the scattering vector, is very sensitive to the behavior of valence electrons in a variety of materials. In this paper theoretical aspects related to measurement of spin momentum densities of magnetic materials using Compton scattering is reviewed. To highlight the potential of the magnetic Compton scattering, the spin momentum densities in Ni-Mn-Ga Heusler alloys at various temperatures and magnetic fields are presented. The magnetic Compton profiles are mainly analyzed in terms of the contribution from the 3d electrons of Mn. A comparison of the magnetic Compton data with other magnetization studies illustrates its importance in exploring the magnetic effects in ferro- or ferri-magnetic materials.