We crate trained my dog when we got him. It was the best thing we could do.. however the crying didn't stop when he was in a different room.. To solve the problem we put his crate on top of a box that he could look over and see me at night. His crying stopped immediately. It was a rough 3 or 4 days before we thought of that... having said that he will always want to be in your room after that I'm sure. I intended for him to be in the same room as me. He still sleeps in his box at night now but we don't lock his door anymore.
Also make sure he has some water in there too. We got a water bowl that attached to the side of the crate.
I'm sure we didn't do everything the right way but it worked for us. I swear by crate training. :D