You especially want to do this soon, b/c you can't get his social security number without a birth certificate, and you can't claim him as a dependant and get the the EIC credit on your tax return either.
Call up your hospital he was delivered at and they will tell you where to go. They should have had you sign the info there after he was born. Then get his social security card started as well.
Good luck! Even though I applied for my son's card when he was born, it took me over a year to finally get it, b/c they "lost" it several times, and I had to keep going to the hospital to get documentaion.