Very Dependent Sleeper! Help!

My baby is 5 months old and he only sleeps on us. I hold him though out the night and for naps. We’ve tried putting him down for naps but he screams for the entire hour. He screams like we are beating him which makes me feel awful like I’m doing something wrong. We always put him down with a dry diaper and with a full tummy. we tried it for a hour a day for 8 days and eventually gave up. He fell asleep for 10 minutes after crying for 40 minutes on day 6 and that was it. I think it all started because he had colic so bad from 1 month to 3 months, the only way we could get him to go to sleep was by walking around with him and any time we could put him down we would wake up crying so we just held him the whole time so him and us could get some sleep.

Is it best to try to ease into it by putting him down for one nap a day until he starts to sleep then move up to two times a day or to put him down every time he’s tired for a day or two and he will eventually go to sleep?

Any tips would be helpful!