A new method is proposed for cooling neutrons by inelastic magnetic scattering in weakly absorbing, cold paramagnetic systems. Kinetic neutron energy is removed in constant decrements determined by the Zeeman energy of paramagnetic atoms or ions in an external magnetic field, or by zero-field level splittings in magnetic molecules. Analytical solutions of the stationary neutron transport equation are given using inelastic neutron scattering cross sections derived in an appendix. They neglect any inelastic process except the paramagnetic scattering and hence still underestimate very-cold neutron densities. Molecular oxygen with its triplet ground state appears particularly promising, notably as a host in fully deuterated O 2 -clathrate hydrate, or more exotically, in dry O 2 -4 He van der Waals clusters. At a neutron temperature about 6 K, for which neutron conversion to ultra-cold neutrons by single-phonon emission in pure superfluid 4 He works best, conversion rates due to paramagnetic scattering in the clathrate are found to be a factor 9 larger. While in conversion the neutron imparts only a single energy quantum to the medium, the multi-step paramagnetic cooling cascade leads to further strong enhancements of very-cold neutron densities, e.g., by a factor 14 (57) for an initial neutron temperature of 30 K (100 K), for the moderator held at about 1.3 K. Due to a favorable Bragg cutoff of the O 2 -clathrate the cascade-cooling can take effect in a moderator with linear extensions smaller than a meter. The paramagnetic cooling mechanism may offer benefits in novel intense sources of very cold neutrons and for enhancing production of ultra-cold neutrons.