Volcanic bombs and achneliths are a special type of pyroclastic fragments formed by mildly explosive volcanic eruptions. Models explaining the general shapes of those particles can be divided in two broad categories. The most popular envisages the acquisition of shapes of volcanic bombs as the result of the rush of air acting on a fluid clot during flight, and it includes many variants. The less commonly quoted model envisages their shapes as the result of forces acting at the moment of ejection of liquid from the magma pool in the conduit, experiencing an almost negligible modification through its travel through air. Quantitative evidence supporting either of those two models is limited. In this work, I explore the extent to which the anisotropy of magnetic susceptibility (AMS) might be useful in the study of mechanisms of formation of volcanic bombs by comparing measurements made on two spindle and two bread-crusted bombs. The results of this pilot study reveal that the degree of anisotropy of spindle bombs is larger, and their principal susceptibility axes are better clustered than on bread-crusted bombs. Also, the orientation of the principal susceptibility axes is consistent with two specific models (one of the in-flight variants and the general ejection model). Consequently, the reported AMS measurements, albeit limited in number, indicate that it is reasonable to focus attention on only two specific models to explain the acquisition of the shapes of volcanic bombs. Based on a parallel theoretical assessment of analytical models, a third alternative is outlined, envisaging volcanic bomb formation as a two-stage process that involves the bursting of large (~m) gas bubbles on the surface of a magma pond. The new model advanced here is also consistent with the reported AMS results, and constitutes a working hypothesis that should be tested by future studies richer in data. Fortunately, since this work also establishes that AMS can be used to determine magnetic fabric in small size samples, the possibility to expand this study to a larger collection of bombs is granted.