K.T.
My son just turned 3 too and has been in a toddler bed for about 8 months now (he climbed out of his crib - well actually threw himself out of it so that is why we moved to the toddler bed when we did!)! When we put our son to bed we always have "chat time" with him. When he is all cuddled in his bed I know he will listen to me so I have explained to him numerous time that he cannot get out of his bed because it is dangerous. I tell him to yell for Mommy or Daddy and we will come get it but that he is not allowed out of his bed. He has only gotten out a couple of times since being in the toddler bed. Within the last week has started doing it more frequently so we just keep explaining to him to not to do that.
So my advice is to try talking with him when you put him to bed or if that fails, maybe a baby gate across his door so he doesn't get angry with the door being shut and not being able to open it. The gate will keep in his room plus provide the safety of him not wandering throughout your home at night.
Good luck! :)