So as most of us know Gandalf is a Maia and Maiar cannot actually die, what I mean is, once the ring is destroyed Gandalf has served his prime purpose in Arda, so once he gets to the undying lands does he discard his body and go to the halls of Mandos?
Tolkien does not explicitly say what Gandalf did after his return to Valinor.
The best parallel case I can think of is Melian, another Maiar who took on a body and lived for many years in Middle Earth. Following the death of her husband Thingol, the Silmarillion says she simply withdrew her power and disappeared from Middle Earth, returning to Valinor. She did not go to the Halls of Mandos; as far as I am aware, none of the Ainur ever entered the Halls of Mandos as residents. I would guess that since Melian took on a body of her own free will without going through any sort of "birth" process, she could discard that body without needing to "die." If her body appeared out of nothing, it could also disappear into nothing, leaving her in her original immaterial form.
Gandalf, like Melian, took on a body without being "born." After his death, he was given a new, superior body, again without the birthing process that an Elf or a Man would go through. The second body was specifically intended to help him complete his mission in Middle Earth. Following Sauron's defeat, Gandalf's task in Middle Earth was finished, and he would no longer have needed a body. Presumably, if he decides to discard his body when he reaches Valinor, he simply returns to the state he was in before he took it on--enhanced, of course, by his experiences. (I think it is at least possible that Gandalf might have retained his body until Bilbo, Frodo, and Sam all died. He was their friend, and it would have been hard for them to relate to him in his immaterial form.)
Gandalf, Melian, and the other Valar chose to be tied to the world at its creation. It is their home. Like the Elves, that means that even if a body they take on has been destroyed, they will return to the world. Unlike the Elves, unless they are being punished for some crime, they will return directly to Valinor without a detour through the Halls of Mandos.
No. The Maiar are immortal, and it is unlikely that a Maia who remained so faithful to Eru and the Valar would be denied his blessing of immortality. Even Sauron (the most evil of the fallen Maiar) isn't dead yet, merely banished from Arda into the Void - he will return at the end of the world for the last battle. Saruman, who was also a Maia and an Istar and who also fell from grace, may or may not have been stripped of his immortality (we don't know), but Gandalf fulfilled his purpose and achieved everything he was sent to accomplish. He did the job he was sent to do, and we can be relatively certain that he received his just reward for his loyalty, to say nothing of his absolute and unqualified success in defeating Sauron.
Tolkien thought of the Maiar as Angels, and angels don't die, especially if they do what God told them to do.