It is a sort of magic, yes. She hasn't explained it to me but she worships the God of Many Faces from Braavos. I think she has a coin she uses to change her face.

( Sansa knows that she's seen Arya look as one person and then another in a flash. She's seen disguises in Arya's things, things that would keep her identity hidden for a long while. )

She is very, very different from me.