Speaking in sentences and asking for things in sentences are two somewhat different things.
If the problem is just asking for things - ie, he'll talk about things he's interested like trains or cars in sentences - reminding him to ask in sentences is the right approach; eventually he'll learn to do so. My three year old still has trouble asking for things properly - we might get 'I want milk', but certainly not a request for it. We just tell him something (I commonly say 'I want a million dollars!' in a joking tone; while kids don't necessarily get sarcasm, he understands it in this case) or remind him to ask nicely, and he'll do it. He's very polite to others when asking for things, so we largely don't worry beyond the immediate reminder.
If it's sentences generally, I would say three is a bit delayed, and definitely worth looking into. Talk to your pediatrician if you haven't already; the earlier you address speech issues the better.
As far as what you might be able to do now in the latter situation, some of this may have to do with his socialization - does he spend much time with other children of his age or older? How much opportunity does he have to practice talking or hear conversations? Children largely learn to talk by hearing others talk - is he hearing you talk regularly? Is there a language issue - you don't say your native language but from your name I'm guessing it's not english; are you (and others around him) talking exclusively in the language you expect him to learn, or are there two or more languages being used; multiple languages is great if you want him to learn multiple languages, but it can delay speech some.
Also consider reducing TV time if he has a lot of that; television is very poor at helping learn speech, and often replaces simply overhearing adult conversations.