We show that through the resonant optical excitation of spin-polarized excitons into CdMnTe magnetic quantum dots, we can induce a macroscopic magnetization of the Mn impurities. We observe very broad (4 meV linewidth) emission lines of single dots, which are consistent with the formation of strongly confined exciton magnetic polarons. Therefore we attribute the optically induced magnetization of the magnetic dots results to the formation of spin-polarized exciton magnetic polarons. We find that the photo-induced magnetization of magnetic polarons is weaker for larger dots which emit at lower energies within the QD distribution. We also show that the photo-induced magnetization is stronger for quantum dots with lower Mn concentration, which we ascribe to weaker Mn-Mn interaction between the nearest neighbors within the dots. Due to particular stability of the exciton magnetic polarons in QDs, where the localization of the electrons and holes is comparable to the magnetic exchange interaction, this optically induced spin alignment persists to temperatures as high as 160 K.