I've given some thought to your request since I read it this morning, and I think your son may need two things: 1. an age-appropriate explanation of *why* this is not acceptable; and 2. a more appropriate outlet for his need to be a little subversive.
On the first thing, can you try telling him very seriously, with a sort of sad tone, "the reason we don't say that word is that it offends people and makes them feel very bad." I know that with my son, my "mad voice" gets me right straight to nowhere, but my "sad voice" gets instant and lasting results, so much so that I'm careful only to use it around issues I really, really care about.
And on the second, what about reading a book like "Where the Wild Things Are" and then playing at being shocked and horrified when your son plays "wild thing"? You don't have to use this book at all -- there's lots of great children's literature, film, etc., that speaks to children's natural wish to test boundaries. But if you can create a game in which you pretend to be shocked and horrified (and your son knows you're pretending), he may no longer need to *really* shock and horrify you.
Best of luck,