I tell Dd these things 'live at the shops' and we just visit them. She's younger than your ds though so prob not as aware.

I agree with other pp though, your ds has to understand you mean what you say. You could try validating his feelings too 'I can hear you're upset and you really want that toy, but the toy lives here' then distract, distract, distract!

Good luck!

Eta: I also disagree with the naughty step idea- he's not being naughty, he is testing boundaries which is his job. Our job as parents is to gently create and reinforce those boundaries. Punishment and shame do more harm than good IMO.