Preparation of an aromatic Grignard reagent
I have prepared many aryl Grignards in my career. Generally the aryl bromide or iodide is easier than the chloride, but it can be done. THF is certainly fine for this, run under inert atmosphere, of course. Magnesium powder may prove to have more of an oxide film than turnings and hence be less reactive. Most Grignard preps use turnings. It might be helpful to give your $\ce{Mg}$ turnings a brief wash with $\pu{2N}$ $\ce{HCl}$, then rinse with $\ce{EtOH}$ and $\ce{Et2O}$ just before you use them.

To initiate the reaction - do not stir the reaction but either hotspot it by using a heatgun to heat the region immediately around where the turnings sit at the bottom of the flask or put the whole flask in an ultrasound bath. A crystal of iodine in the reaction mixture will often serve to initiate the reaction, when it decolourises you know the reaction is proceeding. Depending on scale the heat of the reaction may bring the solution to reflux so you'll need a condenser on it.

Finally if all else fails at couple of mls of Red-$\ce{Al}$-$\ce{H}$ solution should start it. 

If all fails with $\ce{Mg}$ metal, consider running a Knochel exchange with $\ce{iPrMgCl}$.