When I was six, my dear pre-school friend Clayton's mum had a miscarriage. We knew about it - our mums were very close, and the older kids stayed at our place when she went to hospital. So we talked about it at the time. Quite straightforward, no crap, just "the baby died. There was nothing anyone could do to help it."
I know that for me, it was a big enough deal that I put my hand up in class to tell my teacher about it.

I don't think I talked about it much at the time. But the event has never left my memory

I think it's really important to be completely honest with him, and let him know what he can do if he wants to talk about it. Don't fret if he doesn't want to. He will understand and remember. Let him know how you feel too - see it as an opportunity to grieve together, and be his role model for this experience. He will get a lot from it, as an adult when he has to deal with grief, and he understands that it's OK to cry, talk about it etc. Try to tell him first what to expect - that it's OK to cry, or not to cry, that you might still cry sometimes even a few months on. (nine months on from my loss, I still do)
Give him an opportunity to have some input - maybe say something like "would you like to do something to remember that baby?" He might love to light a candle, or plant a flower or similar.

Let us know how it goes. I've been thinking of you a lot, my love.