When a uniaxial magnetic field is applied to a non-magnetic dispersive medium filled with magnetic nanoparticles, they auto-assemble into thin needles parallel to the field direction, due to the strong dipolar interaction among them. We have prepared in this way magnetically oriented nanocomposites of nanometer-size CoFe₂O₄ particles in a polydimethylsiloxane polymer matrix, with 10% w/w of magnetic particles. We present the characteristic magnetic relaxation curves measured after the application of a magnetic field forming an angle α with respect to the needle direction. We show that the magnetic viscosity (calculated from the logarithmic relaxation curves) as a function of α presents a minimum at α=0, indicating slower relaxation processes associated with this configuration of fields. The results seems to point out that the local magnetic anisotropy of the nanoparticles is oriented along the needles, resulting in the macroscopic magnetic anisotropy observed in our measurements.