In a medical school you may be able to take a combined Ph.D./M.D. program. This prepares you to be a medical doctor as well as an anatomy teacher or researcher.
Your master's program may offer you a nonthesis option. Usually this means that you take a comprehensive exam to demonstrate your knowledge of the subject. The thesis option makes more sense if you intend to continue to the doctorate. Researching and writing a master's thesis helps you acquire skills you need in the doctoral program.