Sleeping through the night...?

I have a four month old boy. We have swaddled him and he has slept in the binet next to us since he was a newborn. Recently, the past 3 or 4 weeks he seems to not like the way the swaddle restricts his busy hands. I put him into a sleeper sack and he sleeps even worse. I have to rock or bounce him and he immediately falls asleep in my arms, but when I put him down he wakes up crying. I tried the method where you let your baby cry it out and it is heartbreaking for me as a nurturing mother. He cried non stop. I would go in after five minutes and then ten, fifteen, so forth and reure him that I was still there but that didn't help he wants to be held and to sleep with me. Even when he sleeps with me he will sleep 2-3 hour increments, if that. It is very uncomfortable for me too and I am really not sleeping the full time that he is. I would like my son to be able to self soothe and sleep through the night. My husband and me are sleep deprived and miserable. He doesn't like to nap either. Should I stick with this cry it out method or should I just give up and sleep with him? What should I do so that our family can have happy healthy sleep?