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I don't think you necessarily need to do what you might be thinking "cry it out" means. Even at his age, rocking him to sleep is teaching him to fall asleep in your arms. You can start putting him down to nap on his own, we did this pretty early and just didn't rush to pick him up when he cried. It isn't so much ignoring his cries, as letting him fuss for a few minutes and seeing if he puts himself to sleep. We were definitely doing this by 4 weeks and if it went longer than 10 minutes or so we would just go get him and soothe him again. I recommend On Becoming Babywise for tips on creating a schedule, a website I've also found really helpful is
http://www.babywisemom.com/
Check out the archives. I have spent lots of time reading and re-reading (as LO reaches different stages) her posts and the comments and responses.

Every sleep book/theory I've looked into said there's simply not much you can or should do to sleep train before 8 weeks (before the 6-8wk fussy period passes), except to 1. Give them a minute or 2 to fuss, not to respond to every whimper immediately (not the same as crying it out!)... and 2. Not set up too many bad habits you'll have to break later, while still getting through as best as you can. You can maximize sleep, and try to set up sleep associations/cues... but beyond that, you can't force the baby to sleep, you have to respond when they need to eat. Almost any sleep training method will work (IMO), if you can follow it consistently. Just pick your poison, read the book, (seriously, read the whole book-- there's simply not enough or complete info online!) and stick to it. BUT-- I've read 5 different books by different sleep experts, and the earliest any of them talk of sleep training is 6 weeks (Weissbluth's Healthy Sleep Habits, Happy Child)-- and even then that's in VERY RARE circumstances and is only likely to work with babies of the right temperament. Hang in there!

Sorry-- hit submit too early! I would employ things like putting him down earlier (our bedtime for RJ at that age was around 6 or 7pm), using white noise, making sure he's not too warm during sleep, and room darkening shades.

If you can cluster feed at night it might help him sleep longer. For the first 3 months I would nurse her as much as she'd take for several hours before her bedtime. Her longest awake period was also before we went to sleep. She'd stay up for a good 3-4 hours before bedtime without napping.

@miss-spunkin: just know you're not the only one! My LO is 6 weeks and wakes every 2-3 hours (maybe sometimes 4 at night). I wait 5-8 mins before picking him up (because sometimes he will just go back to sleep). I've tried cluster feeding before bedtime (inconsistently) and sometimes he sleeps longer when I don't cluster feed. Every night is a mystery and we haven't had 2 consecutive nights where he's slept the same. Some nights are good (ie: waking only 1-2 times to feed and then falling asleep right away) and some are not so good (ie: waking up at 2am to feed and being wide awake for 2-3 hours...which makes tired mommy extremely grumpy). Something that I have done consistently is wake him every 2-3 hours in the day to feed. Good luck! and just know that it will get better...maybe not in a couple days or weeks but eventually, your LO will be able to sleep through the night.

For us between 4-8 weeks was also the hardest time, past the adrenaline that gets you through the beginning, but still with an LO that needed to eat every 2-3 hours around the clock. Unfortunately I think you might have to tough it out as it is definitely too early to sleep train. I also wouldn't worry about developing bad habits at this stage- just do whatever works. Good luck and hang in there!

@miss-spunkin: just wanted to see how it's going. Are you still looking for advice?

My DA was up every 2-3 hours for the first 6 weeks. I so-slept during that time mainly because I was still healing from delivery and it was hard to keep getting up and down. At the 6 mark he started sleeping longer stretches so he went to his crib. Maybe you just need to hold out a couple of more weeks for some longer stretches? I think it's hard to sleep train when they are so young. We sleep trained a little around 5 months, mainly just cutting out nursing to sleep. DS is 7 months now and sleeps amazing. Good luck, it's so hard for the first few weeks but it gets better.