I knew people who's babies slept in their own rooms from the start and it doesn't damage them none. For us, it just meant that we only needed to keep one room warm at night and didn't have to go far for feeding and changing. We moved her into her own bed at about five months because she outgrew her little newborn crib.

Adrian used to do one night feeding a night for me so I could sleep and it was a Godsend. I think he did the 4 am feeding. Took her downstairs and away from me, made up her bottle of expressed milk and then rocked her till she went back to sleep.

Just remember not to wear yourself out, too. :)