Interesting. My babe is a long way from dealing with it, but it is definitely something to think about.
My bigger concern would be what other people tell my kid. There is a lot of "vaccines are like hugs" garbage out there. I recently took out a book from the library produced by the Canadian Pediatric Society that was supposed to be fair and balanced (errr.... not), and it was full of drawings by sixth graders that said things like "If you love me, you will give me my shots". Argh.
So I would start by making sure that your child understands that you did a lot of research and decided that the best way to keep him healthy is to not get any shots. Tell him you made that decision BECAUSE you love him.
I would talk about some of the potential reactions he might get from people if they know he hasn't been vaccinated, in an age appropriate, and not over the top way. Basically that people may not understand and could treat him differently because of it.
And then, I would leave it up to him as to what, or whether, he wants to tell people. Let him know that it is really nobody's business, and he is free to just not say anything. Or you could provide him with a couple of lines to use if he needs. For example, if there is a clinic at school or something, he could just say "My mom says I am only allowed to get shots if she is with me." Not a lie. Or if someone asks when he is getting a flu shot he could say "I don't know, I will have to ask my mom."
Wife to DH (06/10) and Mummy to DD (07/08).