My experience is that sleeping together makes things easier at the beginning when it does calm them but it's harder to break it the later you leave it so you're just trading off early pain for later pain. We took the pain early and it's worked out well enough that we'll likely do the same the next time round.
Our experience was great. She slept with us for a month or so (breastfeeding). Then we felt we'd sleep a little better if we put her in her own bed right next to us, so we did that (in the same room) for a few months. Being in the same room makes it easier because you don't have to go check on her in another room. Then at 6 months or so we put her in her own room. It all went totally smooth.
Don't be afraid to sleep with the baby if you feel like it, and don't be afraid to put them in their own bed if you feel like it. It's ok. Also, putting them in their own bed in the same room for a little while gives you a lot of advantages (easy to check on them without getting out of bed etc.)
Basically, just do what you feel like and if it isn't working try something else.
We didn't have early or late pain. Our older son was an epic sleeper, our younger son not so much; but each of them decided in turn that they wanted to move into their own room, which we happily obliged.
