My BB is 5 days younger and I am going through the same problem. I tried to let it cried at first but my friends said not to do that. It is okay to hold the baby when it started crying during the 1st 3 months because they are still trying to get use to being outside mummy's tummy.
I found that talking to my BB while holding him will calm him down, and eventually will then go to sleep.
My BB is nearly 2-month old and I have the same problem. He needs us to hold him at our arm to go sleep. Now, we try to talk to him before holding him and delay the time to hold him. However, we would let him know we pay attention to him and hold him. Otherwise, he will lose trust to us. We are trying to see whether it works or not.