The key is to understanding that self settling doesn't mean no comfort, it means baby learning (through a gradual process) ways to settle independantly, as opposed to being comforted by the parent.
I would try a dummy first and foremost, an important tool for independant settling. It's a replacement for the parent-led option of breastfeeding to sleep.
The next is accepting that baby needs extra help than just sucking.
One way of doing that is creating womb-like conditions: a swaddle to enclosed, you lying cuddling close to baby for reassurance, your touch, dark, quiet. Plus the dummy. I tend to do this at night (with a sidecar cot, because I'm not a fan of cosleeping)
In the daytime, extra comfort can come in the form of movement. Not unusual for daytime naps to be harder than night sleep. But there are methods to allow for novement to get to sleep that are more independant than others.
Rocking to sleep isn't a great habit because the dependence that forms is more about being close to you, being held. More so than the moving. Better is to find ways of allowing movement to slerp that do not require being held.
My biggest recommendation would be a bouncy chair for naps. You just put baby in the bouncer when ready for a nap, place bouncer at your feet as you sit on the sofa. Then just relentlessly bounce (and dummy reinsert as needed) constantly and rhythmically until asleep.
Over the coming 2 or 3 months you can start to reduce how much bouncing is needed to get baby to sleep. Also use the movement to help baby extend naps.
Then once naps start extending (around the 6m mark), move daytime naps into the cot, like night time sleep.
Also worth bearing in mind that you need to restrict awake time. At 12 weeks baby may only want 60 minutes awake time between naps. In the range of 40-80m. This will help baby not get over tired.