He sounds delightful! As far as trying to teach some critical thinking along with the memorization, perhaps you are naturally doing a bit of this (I'm thinking of explaining the DC explanation). I probably would have pulled out our puzzle map of the USA (because, of course, we had one or two, DS was also fond of puzzles) and then gone ahead with showing him what the capitols are - maybe point out some patterns of similar names, etc.
We find that memorization and critical thinking have developed rather fluidly. Perhaps it is our style and our children's way of learning, but we have not explicitly tried to teach critical thinking nor have we discouraged memorization (they seem to enjoy it!). Much of their critical thinking has, I believe, developed as we talk to them about things they observe, we ask a lot of "What do you think that does? How might that be different? Where else could you find something like that?" questions.
I'm not sure you need to worry about what might be helpful at his age. If you continue to talk with him, help him explore his interests and figure things out, he will pick up what is helpful to him.
We certainly didn't think that knowing all the types of dinosaurs, what they ate and where they lived would be helpful to our child (unless he winds up a paleontologist), but he enjoyed it and that was enough. As he got older, there were studying or organizational tips that we did teach him, when he needed them. I doubt that doing that earlier than he needed it would have been useful.
