perhaps he is just slow to transition (there are great suggestions in the book "Raising your spiritied child" by Mary Sheedy Kurcinka, even if he's not spirited). My DD (also 3.5) is very spirited and extremely slow to transition. We talk about this stuff. A lot. ALL the time. I tire of it but I KNOW that it helps her. We talk on the way there, we talk after she's done, I'll randomly bring it up throughout the week...anytime there is a change. This, along with forcing her to deal with change in some instances has helped her learn to cope better.
what might work, and talk talk talk about this a week or two before you do it. Let him hear you tell the teacher the plan so he knows everyone is on board. Let him hear you tell grandma or daddy or his preschool teacher. Then outline a plan with him. Next week will be the last week you sit and watch class. Then the next week (or 2 weeks) you will only watch for half. try to find a point in class where you can tell him that you are leaving and ask him to find you in the window and wave to you. The next week (or 2 weeks) you will only watch for warmups. Same thing, have him wave to you in the window. Then you will drop him off and watch from the window. You may have to stand at the window in the same spot for awhile, but after that is established you should be able to sit down and just pop up occasionally.
I hope it works for you, gl mama!