moving to their own room

So my daughter is 3 1/2 months (4months on the 22nd of jan.) and all my friends have been warning me about keeping annabelle in my room for too long because later on it will be hard to get her to sleep in her own room. and I know they are right because I watch my best friend struggling to get her little boy(2 in February) to sleep in his room so that she can have personal time with her boyfriend.

Annabelle has no problem being in her room but I have a problem with it. I'm so scared that she is going to die of SIDS or get hurt in her crib if I'm not right there in the same room as her when she sleeps. or that she will feel abandoned if she wakes up and doesn't see me in the room. She currently sleeps in her swing or her boppy pillow (I fixed the boppy up so its more like a seat) because of indigestion problems.

Does anyone have advice on the fear I'm having? I mean it's so bad that I can barely go smoke a cigarette in the apartment on the side of our house without freaking out or sending my hubby to go check on her every 5 minutes. and even the baby monitor only helps to a certain point because she refuses to be in a quiet room making it hard to hear her on the monitor.

any help would be great