Spongeitup - I read your thread earlier and I've been thinking about it while I've been working.
I think this is one of the first issues you come up against as a parent which is majorly longhaul in terms of behaviour management.
My middle child is 3.5 and I fully expect to have to remind her about this for another few years. My oldest boy, at nearly 7, remembers now except when I am on the phone.
Asking them not to interrupt is asking them to understand that they are not at the centre of your universe every moment. You are expecting them to hold a thought and keep it waiting, intact, for a while. These things require a lot of different skills.
DS (6) can't get his head around the idea that when I am holding the phone I am thinking about the person at the other end, even though he is a very empathetic character.
At the moment with DD1, we use the techniques people have mentioned here, and then break off to answer her after a shortish gap. The better she understands the principle, the longer the time she'll be expected to wait.
In the short term, to save your sanity, you can sometimes ask your ds to fetch something and promise to answer when he gets back!
I hope this doesn't sound patronising - I think, as onehotmama said, that there are many people who reach adulthood without grasping this skill.
I've noticed recently that I keep interrupting people: it's as if I've caught the bug from dd1 and I'm desperately trying to cure myself.