The board is numbered with the square spiral:
.
17--16--15--14--13 .
| | .
18 5---4---3 12 29
| | | | |
19 6 1---2 11 28
| | | |
20 7---8---9--10 27
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21--22--23--24--25--26
.
a(1) = 7. Starting from the square 1 the sequence of adjacent unvisited lowest primes the walk can step to are 2,3,11,29,13,31,59. Once the square 59 is visited there are no other unvisited adjacent squares containing primes, so the walk terminates after 7 steps. See the first linked image.
a(2) = 38. This walk also starts by stepping to 2 and then 3. But the next lowest prime 5 is now two units away so is reachable and is thus the next stepped to square. Further steps are 7,19,17,37...,827,829,719,947. Once the square 947 is visited there are no other unvisited squares containing primes within the surrounding 5x5 block of squares, so the walk terminates after 38 steps. See the second linked image.
Also see the linked images for n=3,4,5,6.