Neutrons pass right out of the plasma into the surrounding structure. The first wall must absorb the neutrons.
The protons are charged, so like electrons they travel around/along the magnetic field lines, but their cyclotron radius is different.
http://en.wikipedia.org/wiki/Gyroradius
As an exercise, take the electrons and protons to have the same temperature (kinetic energy, but different velocity due to mass difference) and assuming a 10T field, calculate the cyclotron radii of the electrons and protons. And actually, if one is using D+T, then its deuterons and tritons, as well as products like p, He-3, He-4 and n.
The plasma excludes the magnetic field, to the magnetic gradient sends the charged particles back into the plasma.
The plasma likes to stay neutral, i.e. balance of + an - charges, so an electron leaving not only experiences the local magnetic field, but also Coulomb attraction to the plasma, which would have a net + charge if the electron were to leave.
One problem for magnetic confinement is the leakage of neutrals, which are atoms formed from the 'recombination' of nuclei and electrons.