Good question. I know very little about hematite, so there's some guess work here, as you can see.
In scientific usage, hematite is a particular crystalline form of the compound Fe2
(2 iron atoms per 3 oxygen atoms). (Perhaps jewelers use the term differently.) At room temperature, this form is almost antiferromagnetic. If it were exactly antiferromagnetic, that would mean that the iron atoms (which themselves act like tiny magnets) would line up their magnetism in an alternating pattern, so that their magnetism would cancel. They actually tilt a little bit away from that pattern, so that they form a weak ferromagnet- a material which on its own forms magnetized domains, regions where the magnetism of the atoms adds up rather than cancels. When heated enough, hematite becomes a paramagnet, in which the atomic magnets just randomly point all different directions.
Anyway, although hematite is weakly magnetic (and hence can be attracted to your magnet), its magnetism is "soft", meaning that its domains don't stay lined up when the magnetic field is removed. In fact, the magnetic forces between the domains tend to make them line up opposite to each other. Some impurities in hematite can raise the strength of magnetization of its domains or increase their tendency to stay stuck once they are lined up. I've seen ads for magnetic hematite jewelry, so I suspect that it may contain such impurities.
It doesn't sound likely that you could magnetize your hematite much, but you could try warming it up and letting it cool in contact with your strongest magnet, just in case it has some domains that could get stuck lined up.
(published on 10/22/2007)