J.B.
It is okay that he said the names. We are only embarrassed because we are adults. A normal 3 year old who just learnt something new would touch the item and say the name. Do not act shocked or he may think the body parts are dirty.
The bonus is that if you taught him the correct names of the parts he may be safer from predators. Teachers find in school, that if the children who tried to them there was a problem used other names for these body part, they did not understand them until it was too late.