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I've read Ferber's book, Solve Your Child's Sleep Problems, and he recommends starting with nighttime first and then naps. We're going to be starting next week.
For naps, he says to do the same approach as night time (let them cry for 3 minutes, go in and comfort w/out pick up, let them cry 5 minutes, etc) but if the baby hasn't gone to sleep after 30 minutes, or falls asleep for a short time and wakes up and cries or calls to you, to get the baby up end that nap time. If the baby ends up falling asleep later, that's fine as long as it's not with the associations you're trying to break (at the breast or bottle or being rocked or whatever).
We sleep trained but not with CIO. We did more a loose use of No Tears method at 3 months since she had already showed her dislike of swaddling so we had her arms out. We did it all at once. I basically didn't let her nurse to sleep anymore. I would put her in crib awake. However at nap we'd wrap her then read a book before I lay her down. At night we skip the book because we already had another routine set: bath some nights, lotion, pjs, feed, wrap, laydown. Honestly my LO made it too easy to really share any difficulties. Within a week she had it. Now pretty much every nap/night she puts herself down with 0-2 trips in for me to soothe her. And those trips in usually just have me "shhh shh shhh" her, or give her her passy. I'm in & out without picking her up in 2 minutes. Overall She's asleep within 10 min. of laying down.
Definitely start with nighttime. They're more tired at night, plus if they waste an hour fussing/crying, it's really ok because they can make up for it later in the night. They're not only not as tired for naps, but if they cry for an hour, you'll never get the nap, the whole day's schedule will be thrown off, and then the rest of the day and possibly the night is screwed up. DS is still working on naps (particularly lengthening them), but I've read that once babies realize they can fall asleep at night on their own, their naps will gradually begin to improve. Generally, I would agree with this. Naps are not perfect, and some days aren't even good, but on a whole, they're much better than they were, and all we changed was that we put him down awake, but drowsy at night. I let him fall asleep for a minute or two in my arms for naps (again, because they're harder), and it seems to be working ok for us.
By the way, when we sleep trained, DS did not cry for an hour, I just used it above as an example. Our experience was that it was much less horrible than we feared. It wasn't exactly pleasant, but DS is like a different baby these days. He's so much better rested, he's happier, his development is exploding, and now he likes his crib. It just wasn't nearly as bad as DH and I were anticipating. Sure, DS cried, but it was protest crying. We told ourselves this was likely the first of a million times DS will cry because we're not giving him what he wants, and it was ok. We comforted him frequently, so he never felt abandoned, and we still feed him at night when he's hungry. Our goal was not to get him to sleep 12 hours at night, but to eliminate the zillion middle of the night wakings for reasons other than hunger.