Well, if you decide you want to try and get rid of the obsession, prepare yourself as (from my experience) it might not be pretty... He will almost certainly get angry, tearful, tantrummy, and possibly worse. But if you are determined to do it, you have to ride it out.
The worst thing you could do is try and ignore it for a couple of days, let him tantrum and tantrum, and then give in because you can't stand it anymore. The message he has got from that? "Ah, all I have to do is have really bad tantrums and eventually they'll give in". So, only embark on it if you really are sure you can see it through.
The other thing is that you must really, really go to town on providing something that is more fun than Fireman Sam. Whatever that is - special treat, activity, time with you, whatever you think he loves more than Fireman Sam! Definitely sounds like you're doing well in praising and giving lots of attention when he talks about something else - keep it up! He needs to see that he can have loads more fun, and still feel safe, doing something other than Fireman Sam. And you're not taking it away completely, just limiting the time.
You're probably right, he uses it as a safe retreat as it is so familiar, and a comfort for anxiety. Which is why you (and pre-school) also need to be looking at ways to improve his communication. I really noticed when ds got to about 3 or just over, that his anxiety really increased. I think now that it was because suddenly the level of communication with his peers took a leap in sophistication which he couldn't deal with as he didn't have the skills (language/communication). ABA is teaching him this, and everything else is improving because of it. He does still have anxiety but his social interaction has improved beyond what I would have thought possible at this stage.
I understand your concern that retreating into fireman Sam is comforting for him - but if you can provide ways of reducing his anxiety (eg through communication), or other more appropriate ways (eg playing with you, jumping on trampoline, whatever) the obsession should decrease.
ABA is expensive and a big commitment, but I really would recommend you look at it. And in the meantime Hanen worth looking at too. Once communication improves everything else will too.
Useful books (about Verbal Behaviour strand of ABA):
The Verbal Behavior Approach: How to Teach Children With Autism and Related Disorders by Mary Lynch Barbera, a Board Certified Behavior Analyst and parent of a child with autism, and Tracy Rasmussen. One of the few parent-oriented books about using Verbal Behavior to teach communication, speech, self-help skills, potty-training and more.
I haven't read this one but have heard it's great for a newcomer to ABA!
Teaching Language to Children with Autism or Other Developmental Disabilities by behavior analysts Mark L. Sundberg Ph.D. and James W. Partington Ph.D., who have researched Verbal Behavior and helped popularize it through their articles and books.
Educate Toward RecoveryEducate Toward Recovery: Turning the Tables on Autism by Robert Schramm, a Board Certified Behavior Analyst. An easy-to-read teaching manual for parents who are new to the concepts and language of Verbal Behavior. He includes information on children who don't respond to conventional ABA methods, and on how VB can be used along with the Relationship Development Intervention method.