Obviously he is comfortable and secure laying on you,but you need for your health and his eventual independence from you,to "retrain" him.
It will be a few nights of potentially no sleep and feeling at your wits end,but if you stick with it,he will get used to the "rule changes".
Its the continuity that is really important if you change your "routine" and thats the hardest bit for you.
maybe try it at the weekend when DH can help,or at least take him out during the day between feeds so you can get some rest.
IME its the security and comfort he wants,so you need to provide this in another way.As Smee suggests,try laying him down close to you,or in his Moses Basket preferably,but be prepared that you will be there for some time. Feed him,wind him,and then swaddle him,if he'll tolerate it,so he feels like he's being held securely,put him on his side,and pat his back,and shush him,sing,or talk in quiet reassuring voice.
If he cries just continue,he just wants to know you are there,and he'll be unsettled as he will be used to sleeping on you. Imagine its your 3 year old and you are teaching him something new,it'll take 2-3 nights,but it will come, he'll recognise your sleep cues that you give him, if they are the same each time.If he gets really distressed pick him up for a minute,soothe him and lay him back down asap,and start again with a pat and a shush etc.
All 3 of my DC's were different in their patterns,but this always worked eventually with them,they just need time to get used to the new pattern.