So was born in Manila in 1993 to William and Eleanor So, who are both accountants. He was aged 6 when his father taught him to play chess and was 9 when he started to compete in junior active chess tournaments where his aggressive and tactical style of play caught the attention of former Philippine chess champion IM Rodolfo Tan Cardoso. Cardoso said, "The young lad... would sacrifice a queen or any other pieces in his arsenal to get a winning attack." Also according to Cardoso, So did not have the full sponsorships enjoyed by the other chess prodigies, saying "He cannot afford decent training given by well known GM-coaches and has to rely on his pure talent, diligence and, of course, the Fritz programs before competing."
Wesley formerly attended the Jesus Good Shepherd School and currently goes to school at St. Francis of Assisi College System in Bacoor, Cavite, a province south of Manila.