L.,
It's not too early, it's actually quite late and will take longer, but can still be done. With my first, I waited until she was over a month old and it took a week of training. Baby #2 I started at less than a month and the training took a few days. With #3 and #4, I started training in the hospital the day they were born and there was no crying at all involved. I just woke them up after nursing and layed them down in their plastic bin and they fell back asleep. They come into this world knowing how to put themselves to sleep, but they lose that ability quickly when we always do it for them.
It's fine to let them cry. It's good for their lungs and is the first step in a long road to healthy independence. You can do it a few ways and it depends on your baby's personality which is best.
1. Make sure all needs are met - full, burped, clean, warm.
2. Lay them down and leave. It's hard to hear them cry, so keep a distraction and a clock handy so you give it more than 15 seconds.
3. You can come back in 10 minute intervals or increase the time intervals - 5 min, 10 min, 15, 20, etc.
4. Sooth and reassure. Come back and get them calmed back down. Make sure they didn't get wet or need to burp if the process is taking unusually long. One of my kids did better if I left him in the crib and just patted his back and talked to him. Two of my kids wouldn't calm down unless I picked them up. One went nuts when I went back in the room and left again. It was just better to leave and be done.
5. Leave again and repeat until they are asleep.
This takes time and patience. My oldest child (and the one I waited the longest to train) took nearly an hour the first night to go to sleep. It was shorter every night until she went down without a cry on day 6. Even the two who never had to "cry it out" eventually had days when they were older that they would test the water - they all do it. Just be consistent.
The other major benefit to teaching babies how to put themselves to sleep is that they learn to sleep through the night. All my kids could go 12 hour intervals by age 2-2 1/2 months. The earlier the better, so if it was me, I would start ASAP. My four babies are happy, well rested, confident and independent children now and mom has always been well rested and happy, too.
Good luck,
S.