I also have a newborn - 23 days old. She is a very gassy baby too, but not nearly to the same extreme. She definitely prefers to be held, and I spent a lot of time in the first week sleeping on the couch with her napping on my chest. Our pediatrician said this was a very bad habit so I started swaddling her really tight and putting her in the crib. Big swaddling blankets and a tight swaddle have saved us.
This will not solve the gas problem, but I watched a DVD while I was pregnant called "The Happiest Baby on the Block," and it teaches a specific method of swaddling, along with a few other techniques, that supposedly trigger an infant's "calming reflex." It doesn't get rid of gas, but there might be much more to her fussiness than just gas. Our baby will NOT sleep on her back unless she's tightly swaddled. And if she manages to kick herself loose, then she starts screaming until we wrap her up again. Some infants just need to feel like they are in the womb, and they can't stand to have their arms and legs flopping around. I highly recommend the DVD, but in the meantime, I'll do my best to describe their method...
Get big swaddling blankets - 36"x36" seems to work. I found one set of these at Target. (Most are 30x30, which is way to small for my now 9lb baby.) Fold one corner down about 6-8 inches, and line that new edge up with baby's shoulders. Pin her right arm to her side. Take the corner of the blanket on that side and wrap it over her arm, tucking it under her body on the opposite side. Make it tight. Then take the bottom corner and pull it all the way up to the shoulder of the uncovered arm. Tuck it under the shoulder and arm, while holding the arm to the baby's side. The baby's legs and feet should now be covered. Now take the last corner and wrap it across the front of the body, securing the 2nd arm to her side. Wrap it all the way around her back to make her as snug as possible. The DVD actually shows one extra step which is hard to describe - When you are wrapping that last corner around, you are first supposed to pull it down from the shoulder area, create a fold, and then pull the rest of it up around the body. This makes it a little tighter and keeps her from pulling her arm out.
Once you have swaddled her, the DVD says to turn her on her side, gently jiggle her, and go "sshhhhhhhh" in her ear until she is calm. This is all supposed to simulate the feeling of being in the womb. I tell you - it's amazing. Our baby will be screaming at the top of her lungs, and the process of swaddling doesn't help b/c she thinks she hates having her arms pinned down. Then we turn her on her side, jiggle and shhhh... and it's instant silence. After about 5 minutes, we put her in her crib, and she's usually fine.
I know this was a really long post, but I can't imagine what we would have done without these techniques, so I wanted to help. Good luck!
-L.