Kids are programmed to learn through imitation, and I have found that, especially with attitudes and everyday behaviors, when I live my values clearly and happily, the children around me will (mostly) accept those as "the way we do it."
With my own daughter, and now my grandson, we habitually use good manners, ask for favors politely, say thanks for all sorts of things; from the food on our table; to someone holding a door open for us; for a beautiful day or a needed rain shower; or even to a child who is being polite. While verbal guidance and instruction will always be valuable and necessary, it's the daily examples that make the deepest impressions.
Kids are also able to discern very early who they can 'milk' for extras. Your grandmother is one of those – she may delight in giving her great-grandchild the things she could never give her own children or have for herself. You can try, but I don't think you'll be able to talk her out of it.
But you can hold reasonable and healthy limits on how many toys your son has to play with at any one time. If he has so much stuff he's failing to value it, divide the toys into batches, and rotate the batches every couple of months. If he doesn't show interest in some of the toys for a long time, others kids will value them – donate them to toys drives.
You can also participate with him in his play once in awhile. Express admiration for the nice things he has, ask him what's special about different toys, and encourage him to take good care of his things.
A four-year-old has very little concept of the monetary value of things. Parental lectures about value and replacement cost fly right through his little brain, because he's had little-to-no practice earning, saving or spending money yet. Right now, money is this magical substance that adults have in pocket or purse for whatever they want. A quarter can seem as valuable to a child as a $20 bill. That understanding will come in good time.