We report on muon-spin rotation and relaxation (μSR), electrical resistivity, magnetization and differential scanning calorimetry measurements performed on a high-quality single crystal of Cs(0.8)(FeSe(0.98))(2). Whereas our transport and magnetization data confirm the bulk character of the superconducting state below T(c)=29.6(2) K, the μSR data indicate that the system is magnetic below T(N)=478.5(3) K, where a first-order transition occurs. The first-order character of the magnetic transition is confirmed by differential scanning calorimetry data. Taken all together, these data indicate in Cs(0.8)(FeSe(0.98))(2) a microscopic coexistence between the superconducting phase and a strong magnetic phase. The observed T(N) is the highest reported to date for a magnetic superconductor.