A sensor for thermal and thermodynamic measurements of small magnetic systems have been designed and built. It is based on a 5μm-thick suspended polymer membrane, which has a very low heat capacity (≈ 10-6 J/K at nitrogen temperature), and on which a heater and a highly sensitive thermometer are deposited. The sensor properties have been characterized as a function of temperature and frequency. Energy exchanges as small as 1 picojoule (10-12 Joule) were detected in the 40K- 300K temperature range. Such values correspond to those required for measuring the thermal signatures occurring during magnetization reversal in very thin samples (typically 10 nm thick), which would be deposited on the membrane. It is expected that this method will constitute a powerful tool in view of analyzing magnetization reversal processes in magnetic nanosystems, e.g. exhibiting the exchange-spring and exchange-bias phenomena.