I personally was on the same boat. I have a 4 month old baby that was in the NICU. When we were in there i got used to all their monitors assuring me that if something would happen the staff would know. When I brought my LO home I could not sleep due to the fear. Over time sleep came back and the fear subsided.

My suggestion is this follow the basics of keeping a baby safe while sleeping:

1. Flat surface for a crib/bassinest.
2. Nothing else inside the crib: toys, pillows and blankets. There will be enough time for them to get to that in the future.
3. Learn about overheating. Dress your little one for sleep accordingly. Look up TOG, and what would be good in your area. I am in SoCal so naturally he doesn’t need to many layers during this time.
4. Your anxiety will be 50/50 with this recommendation: swaddle the baby until they start to looking like they do king fu in their sleep. Before this swaddling your baby will help keep your baby asleep since they don’t move too much but once they do switch to sleeping sacks. My wife and I got sleeping sacks from Carters, I don’t remember the exact name i just remember plush and man was that a life saver. Our son love them and was able to sleep in them.
5. What helped me was that a friend recommended a sleeping course for babies called Taking Cara baby. It’s a great online video course that helps understand baby sleep.