Hi A., Congratulations on your baby.
It is totally natural that your 4 week old wants to be held. To paraphrase Dr. Harvey Karp "The Happiest Baby on the Block" -- your loved one is so used to being next to you, it is only natural he wants to be held.
While I am not an expert, please if you can respond to his cries. I understand that even science shows (from the book "the science of parenting") that when we respond, it helps them (and I am writing from memory, so don't quote me :)) or their brain cells develop better etc.
can you wear your baby in a sling? Or swaddle, as many wrote.
I also agree with what is written that if you need a break, try to swaddle and take a breather. A healthy momma is a happy momma and your baby wants a happy momma.
I know it can be trying at times, but I promise you the investment now of your time and devotion will be worth it.
For other good books check out Dr. Sears "The Baby Book".
HTH and hang in there.
Jilly