Should I be concerned if my 3 week old son has "gas". Which is gentler and better recommended?

Gas. All babies have gas. They swallow air when they cry, when they suck, and when they eat. Eventually, they learn not to swallow so much air. Burp him frequently during the feeding, but don't be too concerned if you don't get a burp every time- it will come out one way or the other. If he is really uncomfortable, ask you doctor about using simethicone drops.
Gas. Newborns are tough to read. If he seems like he is in pain; it might not just be gas. If he is just passing a lot of gas, that's normal. It could be what he's eating, what mom's eating (if breast fed), GERD, or illness. Best to call your pediatrician. There are too many choices. .