Hi K.,
My son did the same thing. It broke my heart....every single day i had to walk out on him like that.
I sat him down and explained to him (they understand more than we think) that I will be coming back, just like I have every day and I wanted him to have friends like he has in school. It took him a few weeks to get used to the idea, but I kept reassuring him.
He knew when I was late, and before he asked me, I quickly explained that Mommy gets stuck at work sometimes, but never worry because I will always come to get him.
Also, you may want to ask the Director or the teachers in the class. Your son is no different than alot of kids and maybe they can suggest something else to help you both get through this.
I hope this helps.
Keep me posted.
BTW, where are you located and which daycare does he go to?
L.