Measurements with magnetic probes performed in the initial phase of a plasma focus device (30 kV, ) in the pressure range 0.5 - 5 mbar deuterium are presented, and an interpretation of the obtained signals is given, which includes a procedure for disentangling the effect of variations in the discharge current from the signals. Thick current sheaths, essentially filling all the space between the electrodes, are shown to form at all pressures, travelling radially outwards at constant speeds of between 2.5 and 3.4 . Experimental confirmation of a theoretical prediction of distortions in the registered signals due to current exclusions by the probe's body is given, and evidence confirming the `inverse skin' effect is presented.