Magnetism in graphene has stimulated extensive studies to search for novel metal-free magnetic device. In this paper, we use a synthesis method far from equilibrium state named self-propagating high temperature synthesis (SHS) to produce few-layer graphene with different defect contents and then use a heat treatment process (vacuum-annealing and air-cooling) to further control the defects in graphene. We find that the type and content of defects in graphene can be controlled by adjusting the mole ratio of reactants (Mg: CaCO3) for SHS reaction and the temperature of the subsequent heat treatment. The deviation of the ratio of reactants from stoichiometric ratio benefits the production of graphene with higher concentration of defects. It is indicated that the temperature of the heat treatment has remarkable influences on the structure of graphene, Raman-sensitive defects can be recovered partly by heat treatment while IR-sensitive defects are closely related with the oxidation and decomposition of the oxygen-containing groups at elevated temperature. This work indicates that SHS is a promising method to produce graphene with special magnetism, and the heat treatment is an effective way to further adjust the magnetism of graphene. This work sheds light on the study to develop carbon materials with controlled ferromagnetism.