Co sleeping help

Please! Any tips on how to end this. Every night my newborn insists on falling asleep in my arms and never allowing a transfer. I do NOT want this to become more of a habit than it already is! She will be 4 weeks on Saturday, she is breast fed, We've tried a rock n play, transferring her at different times of sleep(like 5 mins, 30 mins, 1 or 2 hours) and she wakes up pissed every single time. I'm not sure what other information would be important. But I can't continue to sleep with her in my arms.