Transitioning my toddler to his own room

We have co-slept with our son for like 2 years now. He’s 4 and will be 5 in February. We’re expecting baby #2 in March, so we wanted to transition him back into his own room. We re decorated with Spider-Man which he loves, last night he slept all night in his room. I was up all night worried & checking on him. He always says “don’t leave me, sleep in my room” and it makes me feel so bad. His room is on the other side of the house (one story). I don’t know if it’s my pregnancy hormones or what but this momma is so sad to not have her baby cuddles every night. Anyone have suggestions?