The aim of this work is the description of the chain formation phenomena observed in colloidal suspensions of superparamagnetic nanoparticles under high magnetic fields. We introduce a methodology based on an on-the-fly coarse-grain (CG) model. Within this approach, the coarse-grain objects of the simulation and their dynamic behavior are not fixed a priori at the beginning of the simulation but rather redefined on the fly. The motion of the CG objects (single particles or aggregates) is described by an anisotropic diffusion model and the magnetic dipole-dipole interaction is replaced by an effective short-range interaction between CG objects. The methodology correctly reproduces previous results from detailed Langevin dynamics simulations of dispersions of superparamagnetic colloids under strong fields while requiring an amount of CPU time orders of magnitude smaller. This substantial improvement in the computational requirements allows the simulation of problems in which the relevant phenomena extend to time scales inaccessible with previous simulation techniques. A relevant example is the waiting time dependence of the relaxation time T2 of water protons observed in magnetic resonance experiments containing dispersions of superparamagnetic colloids, which is correctly predicted by our simulations. Future applications may include other popular real-world applications of superparamagnetic colloids such as the magnetophoretic separation processes.