M.,
We've never let our daughter sleep with us because of this problem (and we're afraid she'd end up squished, since neither of us are little people LOL). However, we did have a similar issue when we transitioned her to a toddler bed a couple months ago. She would scream and cry and want us to stay in her room with her and "rocky" (we have a rocking chair in her room and always rock before laying down for bed). She could open her bedroom door too, and would come back downstairs.
First, we screwed a baby gate into her doorway, so we can leave her door open and she still can't get out. Now we don't have to worry about her waking up in the middle of the night and wandering around the house.
To get her to sleep in her new bed, for a couple nights I had to sleep on the floor next to her bed. A couple times in the night she would get up and want to lay next to me on the floor, but I'd put her back in her bed. Then we went to putting her to bed while I sat in the rocking chair in her room. She'd get up and come rock with me for a couple minutes, then I'd put her back in bed. After a little bit, I would get up and leave the room, door open but baby gate locked. She would get up and cry at the gate and get mad-- I'd let her do it for 10 minutes, then go back up, rock a little bit, back to bed, rinse, repeat LOL.
It took a while, but eventually after crying for just 5 minutes she'd go get in her bed on her own. We've started keeping a sippy cup of water at her bedside too which seems to help her some for some reason. Now (nearly 3 months later) she's gotten to the point where when I say I'm done rocking, I'll go give her a kiss and hug and leave and she doesn't cry or get out of the bed but goes to sleep.
Don't know if this is helpful or not, but that's what we've done! :) A.