I don't know how old your baby is, and this does make a difference. If you baby is under 3-4 months old, I would just keep nursing her to sleep. I know some books (like Babywise) say tiny infants can handle putting themselves to sleep, but they're only that small once, so go ahead and let them cuddle you when falling asleep. Believe me, they grow out of it, and you'll wish you could snuggle them a bit more before bedtime! My pediatrician told me I should be putting my son in bed with his eyes open at around 4 months, and she was right that right about then was when I began to feel that he could handle it.
If your baby is a bit older, then I am a fan of crying it out sometimes, for your sake and for theirs, but I've also found that it helps to ease Baby into it. When my son was about 4 months old is when I began teaching him to put himself to sleep (a very important lesson for a Baby in the long run), and it worked really well. Here is what I did:
I would nurse him to sleep. Then, I would wake him up slightly and put him into his crib to fall asleep. Usually, he would go right back to sleep. Over a period of weeks, I began waking him up for longer and longer times before I put him into his crib. After a few weeks, once he was successfully awake for a while (like 5 or 10 minutes), I stopped nursing him to sleep and just began spending some quiet time together rocking, talking, reading, and singing, until he was (as we called it) "blinky-blinky," and then I would put him in his crib. He would fuss for about 5-10 minutes and then sleep. It has worked like a charm, and he's now a year old and I just read him a story and put him in his crib and he lays himself down and goes to sleep. Good luck.
Oh, one final note. Once your baby is old enough to start teaching her to put herself down, she's also old enough to have a bit of a schedule. One thing that really helped me with my son was an idea I read in Babywise that a baby's schedule should always be Eat, Play, Sleep. That way, the baby learns not to rely on food to help her sleep, and also learns how to relax themselves (with some help) after play. It isn't always feasible, of course, but it's a good mantra to keep in your head for the older infant.