First, things first...please don't think of this as 'training' your child, this time needs to be handled with love and guidance and PATIENCE.
Here's the thing...as he been allowed to sleep in your bed before? How long has he been in a 'big boy' bed? Once you've answered those questions for yourself, it's best to sit down with your hubby and come up with a game plan.
IF you don't want him coming into your room you need to start NOW with being consistent and setting up some kind of framework for this. I agree with one poster who mentioned Super Nanny, she seems to have some good insight for parents who want to practice sleep seperation techniques. But, again you NEED to be consistent. Pick a Friday night and start there, so everyone can be rested by Monday. Don't hesitate and don't cave in. My friend used Sleep Seperation because she's preggers and due very soon and didn't want her son to 'miss' her at night, and it's worked well for them.
The basic idea is to start out putting your child to bed, and keep putting them back while sitting in the room and saying doing nothing...all the while returning them to their sleep spot. Do some research and see what method will work best for you and you family and then again make a plan.
I'm a fan of doing what works for the child and not what I NEED, but what WE as a team/family can do to work together.
Also, during the day you can talk to him about sleeping time...that HIS bed is HIS sleep spot and Mommy/Daddy have their own sleep spot. Talking to kids this age is very effective and I think people don't do it enough. They really understand more than we think most times.
Good Luck!