Magnetic shape memory alloys exhibit a hierarchically twinned microstructure, which has been examined thoroughly in epitaxial Ni-Mn-Ga films. Here we analyze the consequences of this 'twin within twins' microstructure on the magnetic domain pattern. Atomic and magnetic force microscopy are used to probe the correlation between the martensitic microstructure and magnetic domains. We examine the consequences of different twin boundary orientations with respect to the substrate normal as well as variant boundaries between differently aligned twinned laminates. A detailed micromagnetic analysis is given which describes the influence of the finite film thickness on the formation of magnetic band domains in these multiferroic materials.