I would not recommend letting him cry it out at this age. Young infants (up to four to six months of age), usually cry for a good reason, even if we can't figure out what it is. I think infants this age need to be comforted when they cry, and not left alone. You can still try to train him to sleep better by trying to set a regular eating, sleeping, and activity schedule, and by recognizing his cues that tell you when he's starting to feel tired.
When babies are older (five to six months), I would start using methods that allow them to cry on their own for progressively longer intervals. Dr. Richard Ferber's book: How to Solve Your Child's Sleep Problems has excellent chapters that explain how to assess your baby's sleep, and how to implement a training program.