What part of no don't you understand?

Last night J kept sticking a little car in his mouth (one I was afraid he'd choke on if he accidentally swallowed it, it was that small), after I told him not to and told him I'd take the car away if he kept doing it. We've had the conversation about choking on small things more than once, so he knew what I was talking about and he knows he's not supposed to put anything small in his mouth that isn't food that he's fixing to chew and swallow. He looked at me just as defiant as he could be, with an expression on his face that said, "So what are you gonna do about it, old woman?" and stuck that car right back in his mouth. I took it away, he howled, and I told him too bad. He settled after a few minutes of screaming, and then in another few minutes came looking behind me on the couch, and we had this conversation.

"Where's my car? Is it behind you?" (as he peers behind where I'm sitting on the couch and looks under the cushions)
No.
"Where is it then?"
Doesn't matter, you can't have it back, you stuck it in your mouth after I'd told you not to.
"Is it in the trash?"
Did you see me put it in the trash?
"No." (looks in trash can) "It's not there."
No, it isn't.
"Well, where is it?"
Doesn't matter, you can't have it back.
"But I WANT it, I won't stick it in my mouth NEXT time!"

Screamfest #2 ensues.

He's sweet as can be sometimes, but other times he's outright defiant and pigheaded and thoroughly difficult, and I want to beat my head against a wall. I think part of it is age, part of it is personality. And there are times where I repeat the same thing to J so many times, where he engages in the same bad behavior over and over after he's been told/asked repeatedly not to do it and suffered consequences for doing it anyway, that I've wondered if he's wired wrong somehow (I'm really concerned that someone in the school system will one day try to convince me my child has ADD or ADHD and should be medicated). But I really don't think he is. I think he's strong-willed and wants what he wants when he wants it, and he's 4 to boot.

I just want to know - how many times must I repeat something before he gets that the time for good behavior is the FIRST time I ask, not the second or third when he's already in the doghouse and consequences have ensued? On one level, it cracks me up that he gets into trouble and loses a toy or a privilege and starts crying, "But I'll do such-and-such NEXT time!" Yeah, right, do you think I just fell off the turnip truck, my son? I let it slide this time, and next time we're right back in this same position. I guess you can't fault him for trying, though.