For my own sanity, I don't pick LO up every time he cries. I'll check, make sure he's ok, and give myself a minute before I go to him directly. Not that I enjoy hearing him cry at ALL, but I just can't get myself into the habit of being constantly at his beck and call, cause I'd go out of my mind. ;)
4ish months is when they start being able to soothe themselves. I would count to 20 before picking up a crying baby if you know they're OK; sometimes they're crying to get energy out, too.