Pretty much exactly the same as misspontypine - I had him on me of an evening downstairs until he was about five months, then introduced a routine upstairs. We have a cheap Ikea cot attached to my side of the bed - one side comes off and it has two heights. So dinner at five, play and/or bath, change of nappy etc then upstairs, into sleepsuit and sack, mobile on, feed, cuddle, read.
I had proper anxiety about it to begin with and for months would stay upstairs with him until he was asleep and then creep out. Now - a week away from one year old! - I've been doing a combo of gradual retreat and PUPD. He will roll and crawl out of his cot onto our bed - even in his sleeping bag! - but I just place him back and say the same thing: ssssh, sleepy time darling, night night. I used to use my pregnancy pillow as a barrier but don't bother now. He's definitely getting it.
Co sleeping nighttime routines don't have to be any different from them having their own room. We have a gate across our room and baby proofed our bedroom. But we didn't need to lower the cot/bed for months and months. We intend to co-sleep long term so I needed to teach him he sleeps upstairs of an evening, and we come in later. Some nights he rolls into me for a cuddle, some nights he rolls over onto his other side with his back to me, like a little cuddly slug in his sleeping bag 
I guess I am "training" him to an extent but it's nothing like CC/CIO. Gradual retreat and pick up/put down are very, very gentle. It's just about persistence more than anything. He knows what happens when he crawls out of the cot and into the bed - he gets put back - so he sometimes scurries back. I try not to stress if he's gurgling away to himself within the cot area. I just let him get on with it and only intervene if he comes out of the cot.
It really is trial and error OP. Four months is still very tiny and I would probably be thinking of the long game. He will learn in time and I think a nice, relaxed, comforting routine will definitely encourage confidence in a cot. You might be up there with a lot but personally, I tend to think that's a gentle way of teaching him this is the sleep area than just putting him down and going away. Just my personal opinion though!
This is our set up - I WISH that was my wall though! 4.bp.blogspot.com/_1B_iE_SHYkI/S8GxFs02L0I/AAAAAAAAACY/NpblSwMsPgc/s1600/side+crib.jpg