how long do you let baby cry?

Anna
I'm a first time mom and my baby is 4.5 weeks old (he was born 4 weeks early though) so developmentally he is a newborn. I am exclusively breastfeeding; baby eats every 2 hours. In the overnight hours, I'll feed, burp and change his diaper (same as each day feeding). At night, between feedings he cries. Non stop. He only sleeps if we hold him. It's exhausting. My husband said to let him cry because we know his needs are met. I can't hold him all night, I need sleep too. How long do I let him cry? Help!