We started with naps in the crib, then swaddled them, then we rolled up receiving blankets and made a U shape and put that b/t the mattress and the crib sheet (sort of like they're sitting on a swing). That seems to help them feel a little more secure in the crib (plus we prop our cribs for reflux and it helps keep them from sliding down!).
I second the PP who said to try light pressure on them if they start to swaddle - my son startles easily and this really helps him fall asleep.