My oldest (4-1/2 now) slept in our bed almost from the very beginning. We worked opposite shifts and it was easier for ME to have him right beside me and not have to get up to get him to nurse.
Anyway, I rocked him to sleep every night. As he got older, I started putting him in HIS bed. At some point, he would wake in the middle of the night and come back to our bed. I tried putting him back in his bed, but he wouldn't stay. At 2 in the morning, I wasn't going to fight it. He'd sleep the first half the night in his bed, the 2nd half in ours.
After a while, every now and then, he'd sleep the whole night in his bed. Now, he rarely ever comes to our bed. He still sits with me to go to sleep, then he is carried to his bed. He CAN go to sleep on his own, but this time is part of our one on one time after the baby has gone to bed.
I personally don't believe in letting a child crying it out. I just could never do it. Not saying that it is wrong, it just wasn't for us. My line of thinking on this was/is: It was my decision to bring him to my bed, why should he be "punished" (for lack of a better word) or suffer from me deciding I didn't want him in bed?. So we went about it a different way with waiting till he was asleep and then putting him in bed. If I tried to put him down before he was completely asleep, he would wake right back up and wouldn't stay in his bed. However, if I waited till he was completely asleep, he'd stay there for several hours. The time got longer and longer till he was in his bed all night long.
Good luck!