Magnetic effect on gravity: In technical terms: yes. For practical purposes: no.
As Danu states, a magnetic field is a form of energy, and Einstein showed that energy can be equivalent to mass. A sufficiently large amount of energy (of any kind) collected together will produce measurable gravity (aka bending of space-time).
This source puts the total energy of Earth's magnetic field at $10^{19}$ joules. If that's correct, it's equivalent to 111 kilograms, which is about $10^{-23}$ of Earth's mass (and gravity).
Caveat: I am not a "real" physicist; I might be calculating the wrong thing. But I'm pretty confident that the number is negligible, relative to many other things that affect Earth's gravity.
As Ben states, the electromagnetic energy of protons and electrons is worth a significant amount of the mass in every atom. But commonplace magnetic fields at the human scale expose such a tiny fraction of this energy as to be irrelevant gravitationally.
Gravitational effect on magnetism: It depends on how you look at it.
Unlike an electromagnet (such as the Earth's core), you can't "turn off" a gravitational field and compare the difference.
But in a grand sense, the magnetic fields produced by large convecting masses only exist because of the great pressure and heat generated by self-gravity. Whether that counts is more a question of philosophy than physics.