Spoiled baby. Need help!

My baby is almost a month old and is spoiled to being held 24/7. I didn't believe people when they told me that you can spoil a newborn, until now. I made the mistake of having him in bed with me at night and now he screams until I lay him in bed next to me. But, I'm terrified of hurting him by sleeping with him. If you've ever had this this problem how did you break them of it?