Congratulations on having your first.
I agree with Ryan's mom, don't read too much of this stuff on the internet, you tend to get all the more scary things mentioned there. I remember when I was pregnant with dd#1 I had to stop reading "what to expect" because all the stuff in there was giving me nightmares.
With regards to the crib in room vs. own room, both our dds slept in a bassinet in our room for the first 4 month (dd# 1 for 6 month) but mostly because that would make the nighttime feedings for me much easier, since I breastfeed both of them. Also I have to admit that I wanted them in our room for piece of mind, so I could get up and check on them several times at night
The transition into their own rooms was no problem at all, since they really just went from one crib to another and never knew the difference. Again that was harder on mommy than the girls
The other thing that really helped me ease my mind was getting a video monitor so that instead of just hearing dd, I could actually see them on a little TV, and see that they were actually moving in their sleep.
Hope this helps.
Chris