For the twins they went straight into a cot together in their own room. They slept side by side until about 5 months until they started rolling on each other then I moved them into separate cots.
Totally not recommended by SIDS but I could only do what we could. I had a video monitor on them so could look at them and hear them when they cried. All of our bedrooms are close together in our house so could hear them sleeping anyway and would get up and check on them if I thought there was something wrong. You can buy special monitors that come with pads the baby sleeps on that detects if the baby stops breathing and alerts you now as well.
You've just got to do what you can and what you feel comfortable with. I found that I was over protective with my first but with the twins was a bit more relaxed. You will find that everyone will have their say but you just listen and don't have to agree. It's your decision in the end of what you want to do.