Considering experimental magnetic results and local magnetic structures, simulated by the reverse Monte Carlo method using neutron diffraction data, we propose that the microstructure of the Nd-Fe-Al glassy alloys, which is intimately related to their magnetism, consists of small clusters or medium-range ordered regions of 2-3 nm, embedded in an amorphous matrix. The distribution of the clusters is more homogeneous in thick samples, leading to a higher magnetic percolation limit and an increase of the coercive field from I to 2T for thin samples 25 mum in thickness to 7-8 T for thick samples 2 mm in diameter. (C) 2003 Elsevier B.V. All rights reserved.