Michelle - his digestive system is still very immature so its not always what you eat that can disturb him. When he is crying, he is also taking air in, which contributes even more to gas. Yes, I do think that you need to bicycle his legs & try to burb him throughout the day, not just when he seems to be in pain. Have you heard about Mylicon? Something that helps alot with gas in newborns.
You said he reacts well to walking (rocking?) and the pram.. so for now to let him catch up on sleep, I would walk with him to help him out.