In my own thinking, just saying 'no' to something you don't approve of only asserts power (when it's not safety related) and doesn't impart anything else in terms of enduring lessons. Definitely explain the rationale - better to bombard them with concepts that may escape them for now than to condescend to such a rapidly expanding intelligence.
Jan - I do this, too DS is now at an age where he can help me clean up after throwing toys around. Unfortunately, we have a small dog whom DS has come to rely on to clean up his food dropping. But I can say that it's a declining activity!
Modelling is so powerful and it becomes very apparent a bit later on. For us, DS is just over 2 and the fruits of good modelling are becoming manifest now. The ladies in his childcare will tell me what he's been doing (2 days a week) and it's lovely to know that he models what we've been teaching him even when we're not there