Help! 12 week old sleeping habit

Noor
So I'm a FTM and my daughter is now 12 weeks and doesn't know how to sleep on her own, ever! She must be held and rocked every night otherwise she won't sleep. 
How bad is it if we continue to do this? Or should we break the habit and slowly start to have her sleep on her own. If so, what is the best way to do it?