Oh bless him - do try not to worry, its horrible when they are ill, but you do get used to it.
Immunisations don't protect against colds as everyone so rightly said here - if only they did eh All immunisations do is prime our own immune systems to do the job they are designed to do.
Your son will have a fully functioning immune system that he inherited from you and his daddy. He has all the "tools" he needs to fight off this infection, and fight it off he will. If you are BF even better, but even if you are not, he still has a flourishing immune system.
You can help him by making sure he has loads to drink, if you BF offer lots of feeds as that is drink too. Keep an eye on his hydration - you can do this by monitoring his wet nappies, if there are no wet nappies in a day then he is dehydrated and needs medical attention, but if he is feeding well then this is highly unlikely.
Its so easy to worry when they are so small. Lots of good advice here - raise the end of the bed, keep him warm but not over warm, and sit it out - that will be one strain of cold he will be immuned to in the future - just another twenty million strains to go