We report the results of an experimental study of magnetohydrodynamic damping of sidewall convection in a rectangular enclosure filled with gallium. In particular we investigate the suppression of convection when a steady magnetic field is applied separately in each of the three principal directions of the flow. The strongest damping of the steady flow is found for a vertical magnetic field, which is in agreement with theory. However, we observe that the application of a field transverse to the flow provides greater damping than a longitudinal one, which seems to contradict available theory. We provide a possible resolution of this apparent dichotomy in terms of the length scale of the experiment.