We put our DS in his own room at 6wo because neither dh nor i could sleep through the noise he made whilst sleeping. Was getting to the ridiculous stage where DS would have maybe 2 or 3 2-hour stretches of sleep per night,and dh and i would lie there awake the whole time slowly getting desperate with tiredness but not able to drop off.
Obviously current SIDS advice advises against putting baby in its own room until 6mo, but we weighed this up against the other alternative of neither of us getting any sleep at all (by week 5 I was feeling pretty deranged). It was the right decision for us. There have been lots of threads on here where people have admitted to doing the same thing. But there will always be others who say they would never do it.
You have t do what you think is right.
If you do decide to put LO in the nursery, make sure you read the sids advice first and minimise all the other risks: make sure baby cannot overheat, make sure room temp is around 18 degrees, maybe use a sleeping bag rather than blankets so they cant get over baby's face. Do you or your partner smoke? If not, then the risk factor will be lower for your baby.