The radiation hydrodynamics code MULTI-2D, which was developed by Ramis et al. in 2009 (2009 Comput. Phys. Commun. 180 977) and adopted the single temperature fluid and unstructured lagrangian mesh, is modified into a radiation magnetohydrodynamics code MULTI2D-Z by adding the program module of evolution equation of magnetic field, and self-consistently considering the Lorentz force in the module of motion equation and the Ohmic heating in the module of energy equation. The newly developed module for magnetic field was validated to be reliable. The module is used to study the magnetic field diffusion process, and it is found that the diffusion is weakened due to the increasing of plasma temperature and density and the fluid convection, in which there is minus grads of velocity in radial direction. The new code MULTI2D-Z is used to simulate the formation process of dynamic hohlraum driven by tungsten wire-array Z-pinch at an 8 MA current level. The obtained results are that X-ray power and energy are, respectively, ～30 TW and ～300 kJ, radiation temperature in foam is ～120 eV, and the implosion trajectory of wire-array is also obtained. The calculated results reveal that the magnetic field is mainly distributed in the outside of tungsten plasma during the hohlraum formation. The foam expands due to the radiation heating from the shock wave created by the collision between wire-array plasma and the foam. The thermal radiation wave, which is characterized by radiation temperature, spreads towards the central axis faster than the plasma temperature. When the thermal radiation wave spreads to the central axis, the radiation temperature becomes comparatively uniform in space, and is almost equal to the plasma temperature except at the place of the shock wave. These results help the people to better understand the magnetic field diffusion and convection in Z-pinch, as well as the formation mechanism of dynamic hohlraum driven by wire-array Z-pinch. It is also indicated that the newly developed code MULTI2D-Z can be considered as a new tool for simulating Z-pinch and its applications, such as inertial confinement fusion and magnetically accelerated flyer plates.