My personal opinion as a parent is that they have to finish something if they start. If it's 2 months, have him stick it out to complete the task, and move onto the next sport the next season.
We also have a 3.5 year old son who'll be doing T-ball for the first time in a few weeks. He's very shy, but he wanted to do it, we spent the money, and he will complete it even if he doesn't like it.
Our daughter started dance (she just turned 2). The first 3 weeks were awful. The 4th week, she started participating, having fun, and is really loving it.
We were at the pediatrician today for our daughter's 2 year well-baby visit. We talked about discipline, and the one thing (thank goodness we were already doing this) he really stressed was to praise more than punish. Make sure the pendulum swings much more in favor of you praising your son for all the things he's doing well vs. pointing out negative behaviors. It helps reinforce good behaviors and doesn't mess with their self-esteem.
That being said, our kids were both holy terrors tonight.....