Honestly, I would make the leather arm-guards out of craft foam. It's what I'm using to make my Fran costume, which is very very detailed, and I can barely cut a straight line, but it's still very simple - just time consuming. I think that the craft foam would be very comfortable for a boy that young.
As for the chain mail - there's a very easy way to do this. It might not look as fancy as he wants, but if you are worried about the safety, find a very loose stitched knitted sweater. Stretch it out, modify it to fit him, and spraypaint it silver.
or if he has a grandmother etc who can knit, have them knit very loosely. It won't look perfect, but it does have a good effect, very cute on children's costumes.
As for the sword - I'm not sure where you live, but try Value Village if they have one in your area. Right now in my town, they have a very large variety of lightweight, fake plastic swords that you could probably very easily add to to make it look like Link's (paint, more craft foam etc)
I don't think that craft foam would be thick enough to make a shield out of, so I'm afraid I can't think of anything in that department.
I hope any of this helped you out, and good luck in the process of making it!