Rocking Baby to sleep

Which is better for a 4 month old? The "cry it out" method? Or should I continue to comfort him and rock him to sleep? He is currently totally unable to put himself to sleep.
For added discussion: at what age did you or should you stop rocking your child to sleep? When should they learn to self soothe? What things can I do to help him soothe himself without me? What about when he's sick, can I comfort him then?

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