Baby not sleeping

My son is over 4 months old now and he still does not sleep through the night. I breastfeed him so he wakes up about 2-3 times a night to feed. His doctor said that he is able to sleep through the night and that he only wakes up for comfort. I think that she is right because lately he either falls asleep suckling on my breast or I have to bounce him to sleep in my arms. And tonight as I keep trying to lay him in his crib he keeps screaming his head off until I pick him up. I am exhausted. How did you guys train your babies to sleep through the night? What kind of routines do you have?