Maybe you can try the colic hold? Put baby on your forearm with the head on your palm and the body on your forearm.
Or the kangaroo methd? Remove baby's clothes and your top and place baby on your bare chest and let him hear your heartbeat? This mthd has been proven to work with premature bbs who thrived on the human touch, and who is calmed by the skin to skin contact.
does your baby cry for the whole day or just towards evening time? Maybe you can ask the doc whether it can be caused by something else like reflux? I used to think that my dear daughter had colic (3 pds told me so) until 1 pediatrician finally diagnosed her with reflux.