Hi,
Welcome to the Baby's First Year board! Colic is so hard, for baby and for parents.
Have you tried swaddling your little one? I always found that it was easier to lay down my boys when they had fallen asleep swaddled. I think the closeness of the swaddle blanket helps them to feel like they are still being held. There are some great swaddling blankets you can buy that really help keep them tight and secure as well.
I did an iVillage search to find some more ideas for you and found this article. Hopefully it will give you some more ideas.
Tips for coping with colic- http://parenting.ivillage.com/baby/bhealth/0,,3p9d,00.html
Best of luck to you and your little one. Keep us posted!