I remember finding those first few weeks quite tough in that regard too. I must admit, for a long time I rocked Natty to sleep in my arms, but she tended to transfer pretty well, so I'm not sure what else to suggest.
Ezz makes some good suggestions, re the settling in the cot. But that can be hard when bubs doesn't find any of those things soothing... Hang in there and try a few different things - she will get the hang of it, and you will discover what works for you.
PS, both Madeleine and Calvin are just gorgeous!