My baby girl sleep in the same room with us until she was about 3 months old. Same as Karmal, we put her in another room after we moved house as we got the chance to rearrange the furnitures.
She has no problem at all. She has always sleep better in another room because she is very easy to be waken up. When she was sleeping in our room, everytime we toss and turn in the bed she would wake up and cry. We couldn't shower or even turn on the tap water in the bathroom in our bedroom because she would be waken up and cry. And her bed in our bedroom was right next to ours, so we could hear each other tossing and turning and all of us couldn't sleep well.
After she is in her own room, it's more of me being paranoid than her getting upset sleeping by herself. I have the baby monitor on every night and still I would get up and check on her every hour at night to make sure she is okay.
But letting her have her own room is a very good way to 'train' her to sleep by herself without your help. Now my baby girl is 9 months, she would fall asleep by herself after I put her down in her bed, and I don't even have to turn the monitor on anymore. Good night sleep for all 3 of us.