Its hard being a mum. Your doing a great job. The best advice I can give you is go with your instinct.
My DS was a nightmare baby, he cried and cried, was a terrible feeder and never slept well. The hospital staff branded him a screamer on day 2!! SO I really understand how frustrating and difficult it can be. He is now 13mths old and loads easier, not perfect but then who is.
People are right you can't spoil a baby that is only 4 weeks old. If you want to try a dummy then go for it!! We gave DS a dummy to sleep with only and its worked wonders (I was always against them). So when I put him down for asleep I would give it to him and he would go to sleep, if not sleep then at least he was happy and I could get some rest. I never let him juts stuck on it though, it was only for sleep time.
I would stroke his head in his moses basket when he was upset and just shhhhh him. Sometimes it worked, sometimes it didn't.
Swaddling was a life saver!!! It really calmed him down.
You've just got to try different things. Somedays it will work, others it will not. give him a few times of sleeping on you so he is calmer and you get some rest. But be assured when he gets older and as he can understand more getting them into a rountine is alot easier.
Good luck, it will get easier and remember to do what you think is best for your baby.