I just wanted to say that I know exactly what you're going through as I went through the same thing with my daughter.
I had a lot of trouble with her when she was first born. She wouldn't go to sleep unless I was holding her and rocking her and even though I knew it wasn't a routine I should be getting into it was all I could do to keep my sanity however in the end I started to get really depressed because I couldn't do anything cause I was constantly nursing my baby 24/7.
We ended up when she was 10weeks being admitted to hospital and we got some great advice from the sister that was looking after us.
I'm not sure if you're breast or bottle feeding but I was breastfeeding and it was discovered that my milk wasn't coming out fast enough for her. She'd suck for a couple of minutes and then pull off and scream. Because I'm a first time mum as well I just thought it was cause she was full and had a belly ache but she wasn't settling cause she was still hungry. In the end I was both bottle and breast feeding.
The second bit of advice she gave me which I'm still using to this day was the best bit of advice she could've given me. When I put her down in her cot to sleep I wrap her up - similar to the way she was wrapped when first born. I also place in the cot a pillow and a rolled up towel. When I put her in I put her back against the rolled up towel. I was told that this represents me, it's as if she's cuddled into me. Then in front of her I put a rolled up cloth nappy. This just keeps her in place and tucks her in and represents my arm around her. It may sound all a bit strange but please try it. When they took her off me in the hospital and did this to her and lay her down I said that she wouldn't sleep that she'd just scream and you know the little toad went off to sleep and we didn't hear boo from her till it was her feed time!! I couldn't believe it!!I find it works so well that I can wrap her up once I see she's getting tired and put her in the cot still awake and walk away and she'll put herself to sleep - something which in those early weeks I never thought I'd be able to do. I also find putting somehting that smells like you in the cot helps. I used to put in a breastpad.
I know it may sound all a bit strange but I recommend trying it. Like I said I was very sceptical but I have done it this way ever since and I haven't looked back. Not only that I'm a different person now and so is my baby.
I hope this helps
Alicia QLD Mum of one Princess & two Princes