We present a general method simplifying the search for additional integrals of motion of three dimensional systems with magnetic fields. The method is suitable for systems possessing at least one conserved canonical momentum in a suitable coordinates system. It reduces the problem either to consideration of lower dimensional systems or of particular constrained forms of the hypothetical integral. In particular, it is applicable to all separable systems in the Euclidean space since they are known to possess at least one cyclic coordinates when magnetic field is present.Next, we focus on systems which separate in the cylindrical coordinates. Using our method, we are able to classify all superintegrable systems of this kind under the assumption that all considered integrals are at most second order in the momenta. In addition to already known systems, several new minimally superintegrable systems are found and we show that no quadratically maximally superintegrable ones can exist. We also construct some examples of systems with higher order integrals.