By living them and actively talking about what you believe in.
In my work I sometimes facilitate meetings where we ask people to give a value by which they live as a starting point - kind of what does it mean to be a leader. Some people give their own thoughts, some give quotations from great leaders/inspirational people but many many people start with "my father/mother always said ..." often these were people in their 50s but some nugget about life/values etc from their parents had stayed with them all these years. After the second one of these I went back to dh and said as well as living what we believe, we should actively articulate it to the children too.
I read a book once where a father says to his son, who is working on wall street "why do so many of these people cheat?" and the son replies "maybe because their parents never told them it was wrong". I firmly believe you have to walk the walk AND talk the talk.
Rather than a book explicitly about values, I would give him books with strong characters who have to face difficult decisions and ideally read along with him and comment/discuss. Black Beauty, Anne of Green Gables, The Lion The Witch and The Wardrobe (not so sure about that one actually), Heidi, The Island of the Blue Dolphins, The Little House novels, biographies at his age level about inspirational people - Jackie Robinson, Abraham Lincoln, Florence Nightingale, etc. There must be loads of modern novels for children with similar interesting conflicts and good strong messages. I find the Rick Riordan books great.