We study the dynamics and velocity-force curves of a skyrmion moving over a two-dimensional periodic substrate using simulations of a particle-based skyrmion model, focusing on the role of the non-dissipative Magnus term. In the overdamped limit, the skyrmion depins into a sliding state with a Hall angle of zero. When a Magnus term is included, the Hall angle is nonzero in the absence of a substrate. On a periodic substrate, the Hall angle varies with the drive amplitude. Due to the substrate symmetry the Hall angle does not change continuously with drive, but forms a series of discrete steps at rational ratios of the skyrmion velocity components perpendicular and parallel to the drive direction, when the skyrmion motion locks to symmetry directions of the substrate for fixed intervals of the drive amplitude. On each step, the Hall angle is constant and the skyrmion motion is orderly. Transitions between locked phases generate pronounced cusps in the velocity-force curves, as well as regions of negative differential mobility. The number of observable locking steps increases when the relative strength of the Magnus term increases. We find an overshoot phenomena where the Hall angle exceeds the clean limit value, as well as an acceleration effect where the skyrmion moves faster over a substrate than through a clean sample. These effects are robust for different types of periodic substrates. With a simple model for a skyrmion interacting with a single pin, we can capture the behavior of the Hall angle. The Magnus term induces a curvature in the skrymion orbit as it moves through the pin, resulting in a side step phenomenon that decreases with increasing drive. When the Magnus term is large, the range of impact parameters that permit the skyrmion to be trapped by the pin is small, which is a reasons that strong Magnus force effects reduce the pinning in skyrmion systems.