It is hard to cry your kids out, but it does work. If he goes back to sleep when he gets into bed with you, then he just wants some comfort. We have three kids and with each, crying them out only took about three nights. The first night was the worst, by the third, there was almost no crying. All of ours went to bed great at bedtime, it was the night-waking we had to deal with, sort of like you.
With our twins, we went cold turkey, the bedroom door closes at 7pm and doesn't open again until 7am. The first night they cried collectively for about 1 hr 45 min. The next night 15 min, almost nothing by the third. They were 6Mo when we did this.
With our next child, we sat in his room for two songs of the CD that played in at night and then left. He was older, around 2 (dealing with the loss of his pacifier). He was old enough to understand that we would be leaving after two songs. A 4mo old won't understand that. If you want to stay in the room until he falls back asleep, that's fine, it may take longer, or keep you up longer, but eventually he will get the drill. Just don't pick him up. He'll be mad at first and it's hard not to pick them up when they're upset, but if you pick him up, he'll learn that he just needs to fuss harder and eventually you'll give in...he's no dummy!
Ultimately, you need to choose a method that will work best for you and your personality, then stick with it. You are essentially training him how to be a good sleeper. If he cries and you come rushing in, you have trained him to expect that, you want him to fall back to sleep on his own. Good Luck