As a parent, should I support my son's decision to change his sex?

Yes, you should. If your son is not comfortable in his body and it is affecting his psyche and life, you must stand by his side and support him. It is a big thing for him to reveal this in a country like India. You must honour the faith he showed in divulging this fact to you. You should be proud of your upbringing that your son did not choose any other path but came to you first. Your parenting helped him to grow up to be a strong person and brave enough to speak his mind, no matter, society accepts it or not.