  We measured the magnetic correlations in the triangular lattice spin-liquid
candidate material YbMgGaO$_4$ via polarized neutron diffraction. The extracted
in-plane and out-of-plane components of the magnetic structure factor show
clear anisotropy. We found that short-range correlations persist at the lowest
measured temperature of 52 mK and neutron scattering intensity is centered at
the $M$ middle-point of the hexagonal Brillouin-zone edge. Moreover, we found
pronounced spin anisotropy, with different correlation lengths for the in-plane
and out-of-plane spin components. When comparing to a self-consistent Gaussian
appoximation, our data clearly support a model with only first-neighbor
coupling and strongly anisotropic exchanges.
