We employ the Gutzwiller variational approach to investigate the interplay of Coulomb interaction and spin-orbit coupling in a three-orbital Hubbard model. Already in the paramagnetic phase we find a substantial renormalization of the spin-orbit coupling that enters the effective single-particle Hamiltonian for the quasi-particles. Only close to half band-filling and for sizable Coulomb interaction we observe clear signatures of Hund's atomic rules for spin, orbital, and total angular momentum. For a finite local Hund's-rule exchange interaction we find a ferromagnetically ordered state. The spin-orbit coupling considerably reduces the size of the ordered moment, it generates a small ordered orbital moment, and it induces a magnetic anisotropy. To investigate the magnetic anisotropy energy, we use an external magnetic field that tilts the magnetic moment away from the easy axis (1, 1, 1).