I have a 4.5mth DD. Once asleep (at night) she has slept pretty well since being tiny; my problem has always been getting her to go to sleep in the first place as she is a stubborn little sleep-refuser. We have rocked, walked, sung, jiggled and fed to sleep as I couldn't bear to leave her to cry: I despaired of ever getting her to go down awake and fall asleep all by herself. However, with the transition from her Moses basket to a proper cot in her own room, I am delighted to report that for the last three nights she has been put in her cot awake following bath and feed and, after some wriggling and chatting, has put herself to sleep!!!! (Touching anything wooden within reach :) ) So for anyone who is in a similar position to us a few nights ago, hang on in there - they will figure it out eventually. Just keep trying them in the cot to see if they'll go to sleep by themselves and one day they'll surprise you by doing it.
Now we just need to work on getting the same magic happening for naps... (there's always something else :) )