We have studied the magnetic ordering in Na doped BaFe$_2$As$_2$ by unpolarized and polarized neutron diffraction using single crystals. Unlike previously studied FeAs-based compounds that magnetically order, Ba$_{1-x}$Na$_x$Fe$_2$As$_2$ exhibits two successive magnetic transitions: For x=0.35 upon cooling magnetic order occurs at $sim$70 K with in-plane magnetic moments being arranged as in pure or Ni, Co and K-doped BaFe$_2$As$_2$ samples. At a temperature of $sim$46 K a second phase transition occurs, which the single-crystal neutron diffraction experiments can unambiguously identify as a spin reorientation. At low temperatures, the ordered magnetic moments in Ba$_{0.65}$Na$_{0.35}$Fe$_2$As$_2$ point along the $c$ direction. Magnetic correlations in these materials cannot be considered as Ising like, and spin-orbit coupling must be included in a quantitative theory.
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