4 Week old sleeping

Baby just turned 4 weeks today. For the past 2 weeks we haven't been able to get him to sleep anywhere but in my arms. I will nurse him and he usually falls asleep, but almost instantly when I try to put him down he wakes up and cries. We've tried swaddling him and waiting until he seems to be in a deep sleep before putting him down and sometimes he'll last 10-20 minutes but that's usually it. Any suggestions??? I've read mixed thoughts on letting him self-soothe or cry it out.