Getting the baby to sleep in his bed

Kelsey • Wife of Nate since June 29, 2012. After two miscarriages in 2012, our son, Alex was born January 24, 2016
My little man is almost 4 weeks old, as of today he's been home for a week (was born at 32 weeks and spent 3 weeks in the nicu) and in that week he has not slept without being held! We have a pack n play in our room but everytime I try to lay him down within 5 minutes he's awake and fussing. Even if he's not awake he makes so many noises while he's sleeping that my husband and I can't relax enough to sleep. He also has reflux so even if I hold him and keep him upright after feeding him I still worry that when I lay him down I will fall asleep and he'll spit up and choke! I know my husband and my anxiety is as much a problem as him being fussy right after we lay him down. Anyone have any advice?