Use a tether. Don't let anyone tell you it's cruel! It gives your child some freedom of movement and you're not always holding onto his hand. But he can't get too far from you. I'd take a stroller for the fair or a back carrier for the game too, in case he gets tired (which he will). At the game, be prepared for him not wanting to sit in his seat - so you will have to get up and walk around. Consider whether it's worth the cost of a ticket for something he won't understand or particularly enjoy.
Instead of trying to get him to memorize your cell number, which might be a good thing to start with but it's not reliable, put something in his pocket or pinned to his back which has your info. Do NOT put on something large with his name visible. Molesters often call out the child's name if it's on a shirt or a backpack, and then they say "I'll take you to your mommy."
Teach your child to go to anyone in a uniform - could be a cop but also a security person or even a concession stand worker. At least they are somewhat "official" and know how to find the management.
I believe in teaching a child to scream "You're not my mommy" if anyone takes them aside. But children have to be able to approach someone in a position of authority. And most molestation is perpetrated by someone the child knows, so "stranger danger" can be a mixed message. You want them to approach an official, a clerk, a security guard etc. if they are lost.
Good luck.