Yes Jerome, I have heard of this and I have done this, only we didn't call her Bloody Mary, we called her Mary Wirth. (unless there are 2 totally different things that I didn't know about).
The way we did it was we held a candle or flashlight under our chin in a dark room while looking in a mirror and said "I believe in Mary Wirth" 3 times. All but one time it was just a good way to scare ourselves. I do however remember one time my aunts brother in law getting shoved very hard into the wall and he almost dropped the candle. Of course all us scaredy cat girls ran out of the room screaming! As an adult, I had a lot of major paranormal experiences in that same house so I can't say that Mary Wirth was what caused him to hit the wall. Matter of fact, it was THAT house that got me so interested in the paranormal!