Never pick up a screaming baby when you are absolutely certain they are only screaming because thy want to be held. Your mothers instinct will know. At 4 months, he's not too young to train you! Mine did that! He learned it got him nowhere and by 6 months, always stopped crying and quietly put up his hands when he REALLY wanted up, because he knew I would never refuse when he "asked nicely".
Be sure he has all his comforts, proper food, dry diaper, not sick, etc and reverse the pattern! Do NOT pick him up when he is screaming, unless he has gotten hurt-always comfort him of course for a real reason and feed him if he's hungry. But if he is screaming to be held, DO NOT PICK HIM UP! Whenever he is not screaming, be SURE to run over and cuddle, hug and hold him.
Careful, it's easy to relax and not pay attention when he's nice and quiet, but you need to teach him that when he is quiet- you pick him up.
It's also not to early to say, "no" in a firm way when he screams to be held. He will associate the vocal cue with his screaming and your NOT picking him up over the next few weeks.
Do NOT let him train you this early to respond to angry screams, you'll be SORRY in a couple of months! If you waver and quiet him sometimes by picking him up, he'll scream even longer form that point on always trying to get you to cave in.
Be strong! As soon as he stops crying, give him cuddle time and remember to carry him around a lot on your hip and include him while you do stuff to build his security.