J.
I don't know your neighborhood, but it looks like (from googling spanish immersion preschool chicago) there are some possibilities. If you can commute in this direction, there are at least a half-dozen here in Oak Park, mostly montessori schools, but also an inexpensive park district program. My son went to Intercultural Montessori but you could also look at Oak Park Montessori, Children's Garden Montessori, Morningside Academy.
After 18 months at Intercultural, my now 7-year-old was speaking fluently in sentences and understood everything the teacher said. But then we had to switch him to public school and didn't keep up the Spanish (except for a half-hour once a week) and he has to start over from scratch :-(. So just be aware that although immersion is absolutely the way to learn, if you don't keep it up after preschool it will be forgotten (hopefully it will help him to learn later on, though - and his accent is good). [oh, wait - editing this because I see on re-reading your letter that you speak Spanish, so that won't be a problem for you!]
My younger son isn't going to an immersion preschool, but we are keeping him in his primarily Spanish-speaking daycare for half-days, so it will be interesting to see if he reaches the same level of proficiency his brother did. I wish we could offer immersion in all grade schools - it's really depressing to see how artificial and boring it is to learn Spanish in a traditional "lesson" as my older son does now, compared to how natural is is in an immersion environment.
Good luck finding a great program!