The magnetoelectric properties of hexaferrite Ba0.5Sr1.5Zn2Fe12O22 are significantly improved by Al substitution and thermal annealing. Measuring the enhancement factor of Fe-57 NMR, we found direct microscopic evidence that the magnetic moments of the L and S blocks are rotated by a magnetic field in such a way as to increase the net magnetic moment of a magnetic unit, even after the field is removed. Al substitution makes magnetoelectric property arise easily by suppressing the easy-plane anisotropy. The effect of thermal annealing is to stabilize the multiferroic state by reducing the number of pinning sites and the electron spin fluctuation. The transverse conic structure gradually changes to the alternating longitudinal conic structure where spins fluctuate more severely.