I concur with Mr. A’s answer and I suppose that in some Tagalog regions, “magsadya” is still rather commonly used. However, in metropolitan Manila nowadays, “magsadya/sumadya/sadyain*” is only used in formal conversations and usually by the older generation. “Magpunta/Pumunta/Puntahan” has practically replaced it and the nuance of “intent” would just have to be assumed when applicable.
Aside from its meaning of “going with a definite intention”, it can also mean, “going out of one’s way to go someplace”.
Usually, you will hear it used when purpose is being explained by one paying a visit with a person of authority. To use it in casual conversation might instead produce a melodramatic or comic or even a sarcastic effect. Thus, "Magsasadya na ako sa palengke para bumili ng gatas" (I am now purposely going to the market to buy milk), although grammatically correct, would come across as histrionic and/or comic. When said to a particular person, it may imply sarcasm as it can be understood to mean, “I am now purposely going (and going out of my way) to the market to buy milk (because you demand that I buy it specifically from there when I can just conveniently buy it from any store nearby)”. “Magpupunta/Pupunta na ako sa palengke para bumili ng gatas” would be the straightforward and best way to say it.
* Please note that “sadyain” is also the word used to mean “to do something with malicious intent or with a self-serving purpose”.