No, there is no way to refine the ore into gems. There are gems as quest rewards, for purchase (as preset items; nobody restocks them), loot, or randomly from malachite veins. In Flames of Vengeance quests that have random gems in the reward list can give malachite gems.
I stuck to level 9 enchantments, just using malachite gems on level 10 healing auras. In DKS I ended up with 65 malachite gems at the end of the game (half from FoV), so my next game I'm going to use enchantment formula that need then more often, or not bother reloading at veins or turning in FoV quests.
The
Dragon Knight Saga FAQ/Guide contains a section on malachite gems (as does the
Divinity 2: Ego Draconis All-Purpose Guide for the original release).
