You baby is telling you that she needs to be close to you! I'm a big fan of (safe) co-sleeping and luckily have a husband who can sleep through anything. It's unnatural for human babies who are so immature (compared to other mammals) to be put in a room all by themselves and be expected to be OK. If you're not comfortable with baby in your bed, try a bassinet or co-sleeper that attaches to the side of the bed. Maybe she'd sleep on her own surface knowing you're right next to her?
Also, Dr. Sears says babies first enter light sleep for about 20 minutes before falling into deep sleep. So, if you try to lay a baby down when he/she is in this light sleep stage, they often wake up. You may need to hold your baby longer before lying her down. Look for her arms to be just dead weight when you lift them up and let them drop as a sign she's entered the deep sleep state.