I had the same problem with my oldest 2.... After they would fall asleep in my bed with me, I would move them into their room..... It is a big adjustment for them. Keep that in mind... it is a scary thing for them at this point....
But what I also did, is at bedtime, I would sit with them for like 15 minutes in their room with them with the lights out. Then I would walk out. It took them about 2 weeks or so before they realized that it was ok to be in there, but I explained to them that I was right next door. When they would wake up in the middle of the night screaming, I would just call them into my room so they would learn where it was. When they would fall asleep again, I would move them back into their room.
It is a learning process for them and it is a hard one. Espically for them. It may seem hard on you too getting use to it but they also need to learn that they will be ok. And it is tough for them....
And sometimes, you need to let them cry it out too.....
T. K