Personally, I don't think that there is anything wrong with leaving a baby to whinge or fuss themselves to sleep. However, it sounds like your little one is really overwraught and so not really whingeing to sleep.

Bonnie was particularly screamy at 6 weeks so I know exactly how you feel. Here are some things that really worked for me:
1. Invest in or borrow the Happiest Baby on the Block by Harvey Karp. This has some really useful tips that really work in terms of getting your bub to stop crying (not so much getting them to sleep)
2. Buy a white noise CD and play it really loud. This really saved me on so many nights - often she would stop crying and fall asleep in my arms instantly.
3. Keep your afternoons and evening quiet and peaceful, and minimise other people handling your baby at this time. Overstimulation is often the culprit for fussiness.
4. Thirding the suggestion of the hammock - it doesn't send them to sleep immediately, but it makes settling much easier

I gotta say that personally, the bath and massage thing never worked at such a young age, because Bonnie was so overtired by this time of the day the bath just annoyed her (not to mention the drying and then the re-dressing). I also remember trying the skin on skin breastfeeding thing, and that didn't work either. Some babies just don't respond to close cuddles when they're upset - but they do respond to other forms of soothing.