I have a 4 year old daughter that had a Class 3 underbite. She has had the appliance on for 10 weeks now. She now has a positive bite and does really well with the headgear. She puts the bands on at night and we help her with the headgear. We had her decorate her headgear with stickers. She wears it only at home, not when she goes to sleep at Grandma's house or her friend's houses. Mostly so we don't lose it, but also so she doesn't feel self conscious. We have a nightly routine that we keep to as much as possible. We also reward her with inexpensive non-food items... like more stickers for her headgear when there is no fighting.
By the way, I read all of the other responses and a second opinion is always a good idea. Some of the other responses deal with a different type of headgear than what your orthodontist is recommending. Your son would be wearing an appliance that is attached to his upper teeth with the two hooks in front. The bands go on those hooks and attach to the "reverse headgear" to pull the teeth on the upper jaw forward.
Please speak more in depth with your orthodontist and at least one other orthodontist in your area. My daughter is very happy with her appliance. It did take about a week to get used to it, but it is doing the job and quicker than I thought it would. She was scheduled to wear it for 9 months, but the orthodontist thinks it will come off in 6.
The "Herbst Appliance" that was used on another child is for a different condition. I have 5 children and one child had that appliance. I asked if it would work in this situation... the answer was "no" because the conditions were different.
All of my chidren (except the twin to the 4 year old with the current appliance), my husband, and I have had orthodontist work over the years. I had headgear as a child too, but for a different reason. I hope this helps.