The Magellanic clouds do not seem to move much relative to the other background stars, which of course move a good deal. Is there some explanation for this or am I observing poorly?
The Magellanic clouds are nearby galaxies made up of millions of stars. They are much further away than the visible stars.
The stars, galaxies and other deep space objects do not move relative to each other (at least not enough to be seen by a casual observer)
The stars and Magellanic clouds will appear to move during the night, due to the rotation of the Earth. They do not move otherwise (at least not noticeably to a casual observer)
The planets will move slowly, but this will only be noticed if you observe them over several weeks, and of course, nearby objects (the moon, man-made satellites, meteors) will move more quickly relative to the stars.