workingtitle - I feel your pain. Our little boy put in a few 10pm to 7am awake stints in his first couple of weeks (went to sleep just as DS1 woke up - doh!) However, it does get better and it will settle down. Not sure about how to get him to eat more, DS1 fed every 1-2 hours for about 6 months, whereas DS2 settled into a 2.5-3 hour feeding pattern all by himself at a week - they truly are all individual.
As for windyness - it does get better, we used to be up for 1-2 hours everyfeed with DS2 tring to get his wind out, he still (at 5 months) possetts loads and has trapped wind, but the colicy stage passed at 3 months, we never used infacol this time as it had no impact on DS1 at all, but I know my friend found it useful for her kids (I think colic is just something you need to wing for 3 months!)
Does your little one fall asleep after a feed? If so, you can usually stroke their cheeks and they'll start suckling again. If he's coming off and he's awake, mabye try winding and then just offering the other boob each time and see if he'll take it? He's maybe ending his feeds when he gets wind?
For what it's worth DS1 only fed for 15-20 minutes at a time even when newborn (he was a guzzler) and it never did him any harm (he was up at 99th centile for weight) so I wouldnt' worry too much about that just now although if your baby was prem he maybe needs to be monitored more to make sure he piles on the pounds.
It's hard to hear I know, but it will get easier and the old keeping the lights dim thing etc does pay off, honest, so sounds like you're doing well, newborns are just hard work (especially when others go on and on about how well their baby sleeps!)