Baby won't sleep without being held

My baby girl will be 1 month next week. Ever since she was born she would not sleep without being held and rocked to sleep. I talked to her doctor about it and he said I should put her down when she's drowsy and dont pick her up when she starts crying. He said I should soothe and comfort her when she's crying so she knows someone is still with her. I was skeptical because she's only 3 weeks right now and thought she was too young for that, but he said she's not too young and should learn now before she gets older and depends more on being held until she's sleeping. I've been trying it, but she cries so hard every time that I cave and just hold her. Are there any other ways to get her to sleep on her own without me holding her?