I taught the word "please" to my daughter as just a word to say.. Like cat or dog. Then we learned when to use it. It helps when they are at the "repeating everything you say" phase. My daughter only uses ocassionaly on her own, but when she does she says "say please, PLEASE".
Also, depending on what your toddler wants, I'd withhold it until they do say please. My daughter has learned the connection that "please" means you get what you want. Now she tries using it for everything she wants. She thinks that if she says "please" she could have all the cookies in the house.

Your toddler will learn by example. Make sure you show him how to use it in all situations. While you're playing with him, say, "Can I have a turn, please?" "Thank you."

When your child asks for a cookie, go ahead and say, "Cookie, please." When you hand him the cookie, say, "Thank you for the cookie." Don't force him right now. Just be really consistent in setting an example. That's all I did with my children and I have to say, they have really good manners. Of course, they sometimes need reminded, but it's so great to see them display good manners... even when they are just dealing with each other.

When your son does say "thank you" and "please" make sure you tell him, "Thank you for using your good manners."

I taught my two and a half year old to say, "May I please have..." and then to say "thank you". If she whines at me and says, "Mama I want..." I tell her she's not getting it until she asks properly, and I don't back down. Then when I hand whatever it is to her, I don't let go until she says "thank you". I'm pretty strict on it.

I think you can withold the things he wants as long as you feel necessary - YOU are the parent, and YOU have the power in the situation. No matter how much he yells and screams, he cannot force you to give in. Eventually he will learn his manners.

Hope this helps, good luck! :)

We also taught please as just a word to our son. Then the first time he finally would say please to something we made a huge deal of it and told him what Great! manners he has. At 2 and half he says please for almost everything now, he needs to be reminded sometimes but he always says thank you. And I still tell him what wonderful manners he has and how happy that makes me.