FTM co-sleeping question

Since day 1 my 5-week-old will not sleep without being held, most especially at night. I can't even get him to stay asleep for more than 20 minutes if I put him in his crib or rocker after he falls asleep in my arms. I'm a new parent so I don't know how I should deal with this - is it something he will grow out of naturally or do I make a teach him to sleep away from me?