I was really worked up about cot death also...the first two or three weeks after DS was born I think I woke every 30 minutes to check him. It was just something that got into my head and I couldn't get past it. The best money I spent hands down was on an AngelCare breathing monitor for under his mattress - the first night we used it I actually rolled over and SLEPT. If it is something that is giving you stress I highly recommend it.
My DS slept in our room until he was about 7 months, in a small "nook" sort of like a reading alcove that was just large enough for his cot, a rocking chair and night table. It was far enough away form our bed that it didn't feel he was RIGHT THERE but he was close enough that it was only a few stumbles in the night to get to him.
As for the question on wind-down, I never did wind down in DS's bedroom (or his nook when he slept in our room). We always did wind-down in the living room and then carried him to his room, sort of softly humming to him or quietly whispering to him on the way up the stairs. Wind down varied with age, but I switched to quieter activities like some little finger games, etc and then we had a cloth book with little animals on strings (like tuck the bird into the nest type things iykwim) that we looked at. Then swaddled and carried up stairs. When we did move him to his own bedroom wind down stayed in the living room - and even now at 17 months it's onto the sofa, read a story and then into your bedroom for bed!