It can feel difficult putting a crying baby down to bed - after all, no parent wants to feel like they aren't supporting their child's needs. But if you're already sure that they're fed and changed, and that they aren't crying because of an illness or injury, putting them down to sleep while they're still crying is completely safe, and won't harm your baby.
Despite this, if you find it distressing or unhelpful to use a less gentle sleep training method that requires you to leave your baby to cry it out, you can try a different method such as the pick up put down technique that doesn't involve as much crying.