He's still pretty young to be perfect at coping with the frustration of not having his way all the time - he's still learning. If he's just stomping off and pouting, I would just ignore it. Eventually he should learn that such behavior gets him nowhere if he doesn't get any attention (even negative attention) for it. If he's yelling threats at his cousin during a play date, I would give him one warning - and if he continues, the play date is over (either by you guys leaving and going home, or him spending the rest of the time in his room alone). Before the play date, explain to him how you expect him to behave and what would be some appropriate responses when he isn't getting his way, then if he can't get along, the play date will be done. I just read the book "1-2-3 Magic!" by Thomas Phelan and really liked it lot. It points out all the different strategies kids use to manipulate people (especially their parents!) and try to get their way and how you can calmly follow through with consequences when they choose to misbehave.
EDITED TO ADD: My daughter is 3.5 - she generally gets along really well with other kids but gets mad when she doesn't get her way with me or has to face to consequences of choosing to misbehave or not cooperate. I've been spending a lot of time letting her know it's okay to get mad, but it's not okay to throw her toys, etc. It might also be helpful to start letting your son know it's okay to feel whatever he feels, but it's not always okay to act mean because of it.