I'm not a Dr. or anything, but my opinion on this is that you are doing great. I believe one of the most important things we can give our children (I am the mother of a 3 year old boy) is acceptance and love for who they are and it seems that is what you are doing. So great job dad!
I wouldn't bother with treatment or therapy unless HE begins to feel disturbed by this. And at that point, if treatment was necessary, for me it would need to be therapy focused on accepting himself as is and feeling good about himself. I say this because it is true that society in general can be very cruel to transgender kids. So the extra support is often needed. There are some therapists out there who will focus the therapy on trying to change them, and personally, I don't feel that is possible (nor necessary).
I am so happy to read that there are so many parents who take their children as they are and are supportive of them for who they are. If your child does indeed prove to be transgender (which btw is not the same as homosexual), your attitude will go a long way in helping him feel good about himself.
I have a nine year old son and your story is exactly the same as mine. My son when he was old enough to walk he would stroll the backyard to find floppy plants he called "happy" when he got his first barbie he flopped is around saying the hair was happy. He loves dolls but he says because of the hair. He is also obsessed with mermaids and wanting to be one, and CLEARLY not a merman. Not even with influence.
I am his father. I too am liberal and accepting. We have had issues at his school. He went to a math and science magnet and his teacher called us in to ask him to stop telling the other kids he is girl, it was "freaking them out." I said screw this, we pulled him out and put him in a School of the Arts. We thought it would be a liberal outside-the-box type school, but it was a conservative "Christian" run school. Not a religious school, just religious admin and some teachers.
He turns on and off the "girl thing" but when he is dressed as a girl he looks very pretty and feminine. His younger brother on the other hand looks like a dude in a dress. My son always plays imaginary role play games and he is always the damsel in distress. He does get crushes on girls and at times seems somewhat masculine. I don't know if it is a phase or if he needs to start getting treatment for transgerism.
Normally by four, kids are showing their gender ie; boys trucks, and super heroes. Girls, baby dolls and frilly things. Like you, my concern would be his fascination with the body parts. Boys at this age tend to "hold themselves" a lot which is perfectly normal. I would talk to his pediatrician about this and maybe get him evaluated just to make sure there isn't more going on. I love your attitude that he will be loved and accepted no matter what, as he should be. Take care...