I think you need to decide on what you are comfortable with. There are many philosophies when it comes to sleep training, cry-it-out, no cry, controlled crying, etc.
For me, the cry-it-out method was the most effective for me, but your heart must toughen up to be able to handle it.
If you think it's too heart wrenching to deal with it, then maybe you will be more comfortable with a controlled crying or no-cry method. They all have their pros and cons, so decide which one you the most comfortable with.
Sleep training started at around 4 months for me, cause the book I read recommended at least 12 weeks old.