In this article, we combine experiments and theory to investigate the transport properties of anisotropic hematite colloidal rotors that dynamically assemble into translating clusters upon application of a rotating magnetic field. The applied field exerts a torque to the particles forcing rotation close to a surface and thus a net translational motion at a frequency tunable speed. When approaching, pairs of particles are observed to assemble into stable three-dimensional clusters that perform a periodic leap-frog type dynamics and propel at a faster speed. We analyze the cluster formation and its lifetime and investigate the role of particle shape in the propulsion speed and stability. We show that the dynamics of the system results from a delicate balance between magnetic dipolar interactions and hydrodynamics, and we introduce a theoretical model that qualitatively explains the observed phenomena.