In Great Expectations where has Magwitch been and how has he make his money?Does he take a risk by returning to London?

In Great Expectations, Magwitch's report in Chapter 39 of having been

"I've been a sheep-farmer, stock-breeder, and other trades besides, away in the new world....many a thousand mile of stormy weather from this"  

refers to New South Wales, which Pip learns from Mr. Jaggers in Chapter 50:

"I have been informed by a person named Abel Magwitch , that he is the benefactor so long unknown to me."

"That is the man." said Mr. Jaggers," --in New South Wales.

New South Wales included New Zealand at the time of the writing of Dickens's novel.  Since this area was a penal colony for the British, it is likely that Magwitch was sent off after his capture by the officers on the marsh.  There he was allowed to become a sheep rancher, which explains how he has amassed a great deal of money. 

Because he is a yet a prisoner in New South Wales, he is confined to this colony.  Leaving it constitutes escape and makes Magwitch subject to the death penalty.