S.,
Be patient. I had this problem too for quite sometime. My son (9 months now) wanted to sleep in my arms (or anyone else's for that matter) any chance he got. We started having him sleep in a pack n play in our room, which was difficult to do. I always had to remember he is still a baby and just wants to be near me. So you have to remind yourself of that also. I guess as a stay at home mom it is easier for me to say this because I had the time to let him sleep in my arms rather than in a pack n play or crib. He actually also slept in a small bouncy thing for 3-4 months next to my bed. My son actually did not start sleeping in his own actual crib, in his own room, until he was 8 months old. Some say that this could be wrong. But again we all have to do what works best for our situation, baby and family.
If you try short naps (in someplace other than arms) 1st and when she begins to cry just go to her and try to comfort her by rubbing her belly or some other comforting technique. That way she knows that you have not totally left her and she learns that you will always return if she needs you. Hopefully this will help her to realize that she needs to sleep someplace other than in someones arms. There were many nights when I just propped up the pillows and Cobey slept in my arms because that was the only way I was going to get any amount of sleep. Don't worry, it will get better. Some may tell you to let her "cry it out". But, you have to remember she is only 4 months old. I think that we expect quite a lot from little babies nowadays. But, you have to do what will work for you, your beautiful daughter and your family. Again, be patient and try to get rest any way you can at this point. I am a first time mom too and obviously nobody has a true answer for you but I can just give you information on my experience with our son. Best of luck to you!
D.