Great question! My parents "rule-of-thumb" was that they needed to meet the other parents before I could play w/o them there. In this case, I would walk down with your son and spend some time chatting up the other mother. She may appreciate that as well- she may want to know who her son is playing with!
I remember my parents inviting a few families over for a BBQ so that they could get to know one another. It was always nice b/c we had a group of kids to play with and then those were families we were allowed to hang out with.
We didn't have playdates before age 5 and always had ground rules- call when you get there; (older) call before you go to sleep; if something doesn't feel right, call; remember that our "house rules" apply in other people's homes (PG-13 movies, foods allowed, up too late, etc).