He is four and this is such normal behavior for a little boy! Honest. Do not react, you can help teach him self control by simply saying things like "well that is too bad that toy is making you angry, if you think you are done with it, please go put it away"....don't coddle him or do it for him. I can ask my son "does throwing it down help anything?" or tell him he needs to walk off until he has calmed down.
I will help him after he has tried three times himself to put something together, he knows this and after the second time typically he does it himself and beams with pride. He is allowed to be frustrated, so validate that feeling for him, I say "I understand that makes you angry, when we feel that upset it usually doesn't work right so maybe take a break and try again later", breathing may not help him as he needs it to be okay with being frustrated, it is more about what to do with that frustration. Also reassuring him "you know you are so smart I trust you will figure it out soon enough, let me know when you want to try again" and leave it be. If he gets a reaction good or bad from you he will just be reassured that is the way to react.
I have dealt with this from legos, to bike riding to braiding hair for my daughter as she was determined to learn, she tried and tried and got so upset when she didn't do it right. I told her then it wasn't time for her to try and learn because it takes practice, then she did it two weeks later!! :)