I honestly think this is a personal choice. Many, many babies sleep in the next room and live a long life. Unfortunately, a low minority, like my nephew, pass away from SIDS, or from a safety issue. You have to do what you feel is right for your family. Most peds will tell you to have them in another room, but I don't always listen to them either (especially after my own Dr. told me how she did the Cry It Out method with her own kids and sat outside the baby's room crying for even longer than the two hours the baby did!).
Some will tell you baby will sleep better alone, as will you, because you will be so tuned in to each other, you will waken at any noise you hear.
My personal choice is to keep my babies with me. I had them in their cradle, tried the crib, but they ended up in my bed until around age 3 - again, personal preference. With all the recalls lately, I just don't want to chance it. Babies get caught between bars and cry, and parents don't know that's why they are crying.
It's your kid, it's your choice.