At 3 1/2 you are not really needing to worry that he has no concept of money. Of course he has no concept of money .... he's 3 !! LOL !!
I don't think that was your problem concerning this particular phone call, though. He asked for a game and Grandma said "yes." He asked for two games and Grandma said "Yes." At his age, it is simply cause and effect. Testing to see where the boundries are. He just wanted to see how many games he could ask for before Grandma said "No."
You did exactly the right thing. You stepped in and stopped it when he had reached what you felt was a good limit. At his age, he needs and wants limits, and that is what parents do. They are here to help with those limits until we are able to set our own limits.
You didn't say anything about him being upset at not getting a third game, so that tells me you are already successfully teaching him to accept limits whether you realize it or not.
You can start now with a simple penny system to teach him about money if you like.
Decide on a few simple chores he can do. Even a three year old can put away his toys, or let the dog out when needed, or even sweep the kitchen floor. Be creative.
Next get a jar that will be his money jar.
Set a definite amount of pennies that will be earned each time he completes a task.
Also, get a few small items that he can eventually "buy" with his pennies. When he asks for the item of choice, help him to count out the pennies for it. If he does not have enough, tell him what he could do to earn more pennies. Then when he is disappointed because there are no more pennies in the jar, you have the perfect opportunity to explain to him that everything costs money, and money must be earned.
This should NEVER be tied to Grandma's or anyone else's gifts, however. Gifts are just that ..... gifts. And gifts are not earned.
Don't expect more of him than he can understand. Even older children who have a good grasp on the value of a dollar still think Grandma is made of money and it will never run out. My kids did it to my parents, and my grandkids do it to me. It's our own fault for being so generous with them, but hey, that's the perks of earning your Grandma stripes.
Rather than worry about his understanding of Grandma's limited money supply, you might have better success at this point simply teaching him that it is not polite to ask for things. We can earn things we want, or be very appreciative if someone gives us something nice, but it is not nice to ask for gifts.
One other quick thing ......
You said that you do not always buy what he wants right away, but that you do eventually buy it. This may be teaching him to have patience, which is good, but it is still teaching him that eventually he gets everything he thinks he wants.
When my kids asked for something that was not a necessity and beyond their ability to earn, I wrote down what they asked for and taped it to the fridge. If, after one month, they were still wanting that item as much as in the beginning, and if it was within my ability to obtain, I would get it for them.
More often than not, the desired object was no longer desired. I saved the money, and they learned that even though you want something desperately in the moment, that doesn't mean that you REALLY want it. It is just a passing thing. They learned to think about their wants and that sometimes we don't really need or even want an item as much as we think we do in the moment.
I wish you well, and I think you are doing a better job already than you think you are.