Is this a drop-off "preschool?" If so, I'd say pull him out now and find one that is less a glorified daycare (which I believe drop-off preschools are) and find one geared more toward parent education.
My son is four and attends a cooperative preschool. It has two different programs - one for toddlers (because toddlers are too young to engage in social play - so the focus is more on parent education) and the other program is for ages 3-5. The parents of three year olds usually stay both mornings (and are required to stay one morning) and the parents of the four year olds stay their required one morning (though the parents of a more insecure and clingy child will often stay both days).
I know we SAHM's are bombarded with this notion that we are depriving our children of social development, and then we also have this idea that we need to get our children into an educational environment as early as possible so they can succeed in school, but don't fall into this trap. If you speak to any kindergarten teacher, the number one reason a healthy child fails to succeed in school is because of a lack of maturity . . . not a lack of knowledge!
Since your son is crying in preschool, my guess is that this is a drop-off preschool because he almost certainly wouldn't be crying if you were with him. It really sounds as though your preschool is a daycare by a different name - and if that's what you want then more power to you. But he really is too young to engage in social play and he'll almost certainly cry for a while longer because he's lonely, surrounded by strangers (Including strange children who take things from him) and he misses his mommy). His ability to engage in social play won't start until about age 3 to 3.5
I found our first toddler program through a local community college: They offered great parent education programs and it was so nice to meet other parents and get solutions to problems. When we moved, I found that a local community college actually sponsors this preschool . . . so we get play-based learning for our children and parent education AND college credits for those who are interested.