First, I applaud you for teaching your child early the value of an education.  You are setting the tone for the next 12+ years.
 
However, no party and no gifts would be my advice for a preschool "graduation".  If you "do it big now" then you need to ask how you will celebrate other momentous occasions?  Perhaps a fun picnic in his favorite park with a friend or a chance for him to "decide what is for dinner" would be an appropriate celebration.  If you feel the need to "get something" then a card or a balloon would be just fine for his age.  Of course, if people should call him on the telephone (such as grandparents) to congratulate his "stepping up" to kindergarten then that would be wonderful too and reinforce that education is important at any age.

Congrats on this milestone for your family, and your son in particular!
 
When our daughter graduated from preschool, we took her to pick out a new backpack for kindergarten. She was especially excited to start kindergarten then (if for no other reason than to show other kids her new backpack!). Toughest part was keeping it clean over the summer. We eventually had to stash it away until right before school started.
 
We also celebrated the preschool graduation by getting her a pet fish, to further her 'big girl' responsibilities (and to console her, since she'd no longer be playing with the pets at preschool). Congratulations from extended family and friends also fueled her pride in the preschool accomplishment.
 
I hope your son is proud of himself for doing well in preschool, and continues to do well in future years of school too. If the preschool doesn't present him with a certificate of achievement, that could be another way to mark this occasion (and you could even frame it for him). Another option along the same lines: a special ribbon (sometimes they sell these at the dollar store), or a medal he could wear (also available at discount stores). Or perhaps a trip to a bookstore to pick out a new book, or a new (educational) DVD, or a trip to his favorite children's museum. Something that would make him happy, while also furthering the message you want to send about valuing education and learning.
 
Good luck - I hope you figure out the perfect way for your family to celebrate your son for his work in preschool.