It's too early. Sorry.
I am NOT a fan of co-sleeping, but babies this young rarely sleep on their own. My son refused to sleep in his bassinet for the first week of his life, and my daughter wouldn't do it until she was a month old. You can keep trying, of course, but you'll probably get better sleep if you recognize that, for at least the next couple of days (and possibly the next couple of weeks), everyone will sleep better if you're holding Baby.
The good news is that this isn't creating any sort of bad habits. It's too early to worry about that. You're not going to have to "break" this baby of co-sleeping or anything - he needs to be held right now.
Co-sleeping can be a SIDS risk, which is scary, but the risk for newborns is very very small (the risk is highest between 2-4 months). What your need to worry about with a newborn is not rolling over on him. What I did with my son was stack my pillows up so I was sitting upright, put a boppy (nursing pillow) around my waist, and sleep sitting up in bed holding him, or in the Lazy Boy recliner. This was kind of uncomfortable, so with my daughter, I put all the pillows away except the two I needed, then place a boppy under one of my arms while lying down, and placed Baby in that arm. Baby was on her back (ALWAYS), swaddled (make sure the room isn't too warm, as overheating is linked with SIDS), in the space between my arm and my body, and raised up on the boppy. I could not roll on top of her because she was raised above me - frankly, I couldn't roll at all! I actually think this is a lot safer than just having Baby in your bed.
Invest in a bassinet or co-sleeper crib that can go right next to your bed. Yes, it's worth the extra money (you can find them on Amazon for about $100). The next step once the baby begins showing signs of sleeping on his own is to move him into a bed where he can still hear you breathing. This not only helps him sleep, but is recommended by the AAP to help prevent SIDS (it is recommended the baby sleep in your room for 4-6 months, although with my son, we moved him at 3.5 months because I needed my sanctuary back!) Putting him alone in a big crib in an empty room is very unnatural for him.
The first 6-8 weeks with a newborn are by far the hardest. Try to remember that your baby finds being out of the womb stressful, and it is completely natural for him to want to be with his parents. You make him feel safe again. He is living through the fourth trimester (so named because human babies are born too early in the sense that they are completely helpless for the first 3-4 months, unlike other mammals). It will get easier if you go with your son's flow. You can worry about spoiling him too much once the fourth trimester is over. Good luck.