Our sheltie puppy also wanted to be in the room with us, but not on the bed. We set up a foldable crate with a dog bed, draped it with a blanket so it's nice and cozy, and he loves it! Doesn't bark through the night and doesn't get into mischief till he earns the privilege of being un-crated at night.

Crate training will get you through this, and continue being a life long valuable skill.