Circulating orbital currents produced by the spin-orbit interaction for a single electron spin in a quantum dot are explicitly evaluated at zero magnetic field, along with their effect on the total magnetic moment (spin and orbital) of the electron spin. The currents are dominated by coherent superpositions of the conduction and valence envelope functions of the electronic state, are smoothly varying within the quantum dot, and are peaked roughly halfway between the dot center and edge. Thus the spatial structure of the spin contribution to the magnetic moment (which is peaked at the dot center) differs greatly from the spatial structure of the orbital contribution. Even when the spin and orbital magnetic moments cancel (for g = 0) the spin can interact strongly with local magnetic fields, e.g. from other spins, which has implications for spin lifetimes and spin manipulation.