Do not let him do this! Children want to do many things. As a parent it is your responsibility to teach them what is acceptable. By allowing him to get a girlie makeover you make boys dressing as girls acceptable in his developing mind. During the early years you are shaping his mindset on what is okay and not okay. Children want to eat junk food and keep all their toys to themselves, as parents we teach them to eat a balanced diet and to get along with others and share. If he wants to do something that goes against societal norms it is your job to take that opportunity to teach him what is acceptable and what is not. Boys dressing as girls is not okay and not accepted by society, he will have a much easier time learning this at 3 than if you shape his mind to believe it's okay and then he finds out the hard way when he's 7.
Example of intolerance for those who were wondering.