He may be playing because he is feeling frisky and knows you won't reprimand him for it, but i'd still curb the habit right when he does it, so he learns its a big fat no-no.
My western pleasure mare would buck and play in the roundpen like she was a bronc when lunging with a saddle, but if I got on her fresh, she knew better than to test me, lol. I'd try and get into the same habit with your boy, where he knows when to work vs. play. (Some people don't even let them play in the roundpen, but I don't think it hurts as long as they aren't kicking up in resistance. If you know your horse, you can tell the difference.)
It could really hurt you if you don't reprimand him now. If you can sit these small rears and humps he is doing, I would turn his nose sharply to your knee to get him to quit, then do very fast, tight circles with him a good 10 minutes. I'd do this every time he tries anything under saddle.
If you aren't comfortable with doing that and he still acts up after being lunged, take him to get ridden for a week from a more experienced rider, then take a couple lessons on him with them. Pretty soon, you'll be a pro!