Magnetic properties of Dy_N clusters in a molecular beam generated with a liquid helium cooled nozzle are investigated by Stern-Gerlach experiments. The cluster magnetizations \mu_z are measured as a function of magnetic field (B = 0 - 1.6T) and cluster size (16 < N < 56). The most important observation is the saturation of the magnetization \mu_z(B) at large field strengths. The magnetization approaches saturation following the power law |\mu_z-\mu_0| proportional to 1/\sqrt{B}, where \mu_0 denotes the magnetic moment. This gives evidence for adiabatic magnetization.