Hi Jessica,
Four months is a tough age because he may just be gaining the ability to self soothe or he may not develop that skill for another few weeks or so.
Have you tried a swing or a bouncy chair to help get him to sleep? I know with my son at his daycare, they would put him in the bouncy chair and gently bounce it with their foot to help get him to sleep for his naps.
It does sounds like he is dependent on movement or bouncing for sleep and that you will need to come up with a sleep training plan to help him learn to fall asleep on his own but it could be that he might still be a little young for it. For many babies, six months is a better age for starting sleep training.
I would recommend that you consider checking out the ebook, The 3 Step System to Help Your Baby Sleep as that will give you information about how to sleep training, the different methods (other than just CIO) for sleep training and help you come up with a plan. The key will be to consistent with whatever plan you come up with and to do it for a period of time such as 2-3 weeks to see results. Non-crying or limited sleep training techniques can take a bit more time. You can find that book here: http://babysleepswell.com
You might also check out Mastering Naps and Schedules at http://babynapswell.com since getting him on a good nap schedule is often the first step to better nighttime sleep. Overtiredness from too little daytime rest can make falling asleep harder for most babies.
Keep us posted on how it's going.