I myself also had this phase; and if the rules were not bent to accomodate me, i would often bend them myself: fudge dice, 'accidentally' grab a banknote too much out of the bank or similar small cheats (which added up over the game).
i do not think that letting him win is a good thing though, i know that losing was good for me. In real life, rules aren't bent for you. either.
playing below your ability to give your son a decent chance of winning is all right, but i do recommend to use the same rules (though perhaps a bit simpler to understand, but equal to all players).
for me personally; i still do not like to lose, and often blame the dice and/or keep (too) close an eye on bank transactions of other players to catch them cheating (even if i dont honestly think they are, it's just a reflex), but i accept that i can (and often do) lose; that's the way of life, and a harsh but nessecary lesson to learn