So I have an update!
I decided to start gentle sleep training on Monday. We fed and when I thought she was calm I put her in her cot and sat in the rocking chair. She started to roll around and play so I let her. When she started to sit or stand I said "Penelope, lay down, close your eyes, night night". She did....but then would play again. I kept repeating it, eventually she started to cry because she was getting overtired. She wanted to be picked up, so I picked her up, when she was calm I put her back down. This went on for a while until she was in a bit of a state so I just stood and held her until she went to sleep. I was in her room for 1hr 20mins. She finally went to sleep at 9:20pm and slept through until 6:30am. I am counting this as an improvement as she wasn't fed or rocked to sleep.
Tuesday night was pretty much the same. I was in her room for 1hr 40mins. There was less crying and she fell asleep on her own, while I was sitting in the chair. I had a coughing fit as I was about to leave her room and she woke up, crying, wouldn't settle so again I just held her until she was asleep. She woke at 2:45am, so I went in, she wanted to be held, so I held her and she went back to sleep. I was back in bed by 3:10am and she slept until 6:40am when hubby woke her with a coughing fit (damn these colds!).
Last night was a bit of a cheat. We went to my mums for dinner and she fell asleep on the way home. When we get home I changed her into her pyjamas and put her to bed still asleep. She was in bed by 7pm. She woke at 2:45am so I fed her as she hadn't had her bedtime milk. I held her until she was nearly asleep and put her back in her cot. She went to sleep. I was back in bed by 4am. She woke at 5:10am, I went into her room and as soon as she saw me she just laid back down. I left the room and she cried so I sat in the rocking chair until she was asleep again and she slept until 7:10am.
Things are definitely improving! We've still got some work to do on the bedtime routine and I'm always with her when she gets upset but she soon calms down if I talk to her quietly and repeat that's it's bedtime, night night etc. So I'm going to keep doing this and see how we get on. When I feel that it's better still, I will start to move the chair away and see how we go.