14 weeks is waaay too early for sleep training. Don't worry about holding him. He's only little yet.
If you think about what self soothing actually is, it's being able to be comforted by themselves, whether that's just a baby which is happy to be alone, a baby which is happy knowing you're not far away, a baby who can amuse themselves and engage in comfort behaviours alone or being able to "self talk" and rationalise.
All of that's really beyond a little baby unless you're lucky enough to have one which is naturally happy to be left alone. Most of them are not because they are really just wired for survival over and above all else. Babies are completely defenceless, so back when we were monkeys/cavemen, it would have made sense that their instinct makes them want to be with someone who can protect them all the time. Now, of course, we have houses and such to protect babies from predators but babies don't know that. They only run on instinct and their instinct is to be around you because you can protect them. They don't necessarily have any thought process around this, it's extremely simple that when they are with you they feel safe and contented and when they are away from you they feel strange and unnatural which makes them cry.
They definitely can't "self talk" yet, this function begins between 2-4 years once they have developed enough language to allow for it, the internalised voice coming even later, taking until 7 or 8 with some children. So thinking about other ways babies can comfort themselves:
Knowing you're nearby but not right with them, and/or that you will come back is also something that comes later, but not so much later. At 14 weeks, babies only know when you're right there with them. They don't yet have "object permanence" which means that as soon as something disappears from their line of sight (hearing, smell, etc) they don't understand that it still exists but somewhere else. They only know what they can directly experience. There are more thorough descriptions of this online and the different stages of it, but most babies start to understand this by about 5 months and it's only fully developed by 18 months or so. It might be a long time before your baby is happy to be left safely understanding that you're not gone, you're just in another room. Sleep training where you leave them for short periods and return is based on this understanding, so it's worth keeping an eye on their general behaviour around people/objects to see if they seem to understand that when something is gone it can still be near, before you attempt any form of sleep training.
Being able to self-comfort by performing comforting behaviours such as sucking or stroking or self-amuse might be closer on the horizon. Occupying themselves by looking at and playing with objects in their cot tends to happen when they are able to move around a bit and perhaps sit up, somewhere from 4 to 8 months. Some babies are happy enough to be left when they can do this and they'll play happily until they feel sleepy enough to drop off, but some babies get bored quickly or the "Where's mum?" feeling will overwhelm them sooner, and they'll get upset.
You could try introducing comfort items such as a (safe) comfort toy, a dummy, a light/music toy, or a blanket/muslin but if your baby doesn't naturally find these things comforting, it's likely to be a process of getting them to associate that item that you want to be a sleep cue with all of the loving, safe, comforting settling that you do already and only then transitioning away from the bits you want to stop while keeping the cues there for them to hopefully induce them into a state of relaxation and sleep. I don't know that this is really "self" settling because it's more that you are using an object to comfort them rather than yourselves, but I think for many parents, it's close enough! And it can help with any transitions later on as well e.g. stopping dummy use later or moving from a cot to a bed. Do bear in mind that if you use something like a dummy or a toy that makes sounds before they can restart this activity by themselves you might have to replace the dummy/restart the toy several times during the night as well as feeding.
Hope that helps! And congratulations on your new baby.
