A warlock is, literally, one who breaks his word (w[ae]r-loga, Old English) i.e., a deceiver. The word was used to designate Satan and came to designate wizards, sorcerers and male witches, i.e., those who practice black magic.

1. male witch: a man who is supposed to have magical or wonder-working powers

sor·cer·y [ sáwrssəree ]
noun
witchcraft: the supposed use of magic
sor·cer·ous adjective


mage [ mayj ] (plural mages)
noun
magician: a magician or magus ( archaic )
[14th century. An anglicization of magus.]

Thesaurus...

Entry Word: mage
Function: noun
Text: Synonyms MAGICIAN 1, charmer, conjurer, enchanter, magian, magus, necromancer, sorcerer, warlock, wizard

What i have seen, with the exception of Warlock (which is generally balck magick...) they are pretty much all the same word.