Copper aluminum oxide (CuAlO2) with delafossite structure is a promising candidate for high temperature thermoelectric applications because of its modest band gap, high stability and low cost. We investigate magnesium doping on the aluminum site as a means of producing higher electrical conductivity and optimized Seebeck coefficient. Powder samples were synthesized using solid-state reaction and bulk samples were prepared using both cold-pressing and hot-pressing techniques. Composition analysis, microstructural examination and transport property measurements were performed, and the results suggest that while hot-pressing can achieve high density samples, secondary phases tend to form and lower the performance of the materials.