If a problem comes up, ask a sales associate to hold your items at the counter...take him out of the store, deal with it, give him a minute to compose himself and go back in. If he's standing their patiently, let him know he's doing an awesome job...and just keep stressing that 'this' is how we behave in store, eventually he'll get it.
Also, at 4yo...Lambie rarely held my hand the entire time we were out n about...but she would hang onto the messenger strap of my purse. She was always tugging, twirling, twisting or whipping like horse reigns, so I knew she was there. Maybe get something like this that he can hang onto...and let him choose the fabric/style!