call your local fire station. Ask if they can have a word with him about the dangers of fire. They usually have days where they visit schools and give age related lectures on the dangers of fire. Im sure that they can either send someone to have a chat to him or send you out literature for you to sit him down and have a serious talk with him.
All kids have a natural curiosity towards such things and at times they dont know the boundary between just wondering and actually doing such things.
Many years ago my neighbour found her 3 year old daughter had used a lighter (carelessly left by parent) to light her dolls pram blanket. I was there as her mum explaned to her that it could set the house on fire, then burn all her toys, her mummy and daddy, her baby brother, then spread to my house and burn me and my husband. All through this the little girl just sat fascinated. Eventually i said to her that if my house burnt then my 3 cats would also be in danger of burning. At this point the little girl broke down crying and saying she didnt want the cats to burn and got very upset. She didnt do it again, but i think her mum was a bit peeved that the family came second best to the neighbours cats.