Congrats to you!
My DD is very very uncuddly, and it took a while for us to work that out as it's natural to assume all babies love skin to skin contact and snuggling down in bed with their parents. That's not of course to say that your baby won't love that, but if it doesn't work in your case don't think you're doing anything wrong.
DD needed to be upright (silent reflux - check out the symptoms), so a sling worked well for us. We had a Close Parent one, very comfortable for both baby and parent, and easily adjustable for two different sized parents. That said, there were times when she screamed blue murder in it. She's now 10.5 months and we've realised she is very independent and will only be held close when she feels like it! 
The crying is hard to listen to, isn't it? It was like nails down a blackboard for both me and DP. You will get used to it, and you'll start to understand what the different cries mean.
Things that worked for settling DD: driving in the car (don't stop unless it's a life threatening situation!), being walked in the sling (ditto re life threatening situation!), being rocked in one of those battery driven swings.
Lots of people swear by cranio sacral therapy to check for any misalignments or compression.
I'd second trying to stay calm, DP found the first part of fatherhood really really difficult and it had a negative effect on me. It's all trial and error, and it sounds like you're doing your best. Plenty of good advice on the other topics, particularly the feeding and sleeping threads.