Just like a human baby sometimes you gotta let them scream. My chihuahua used to be the same way and where as I want him to be a therpy dog I learned to just let him scream bloody hell in his crate he wasnt hurt he was just trying to see how long untill i gave in. Once he learned that I was the one in charge he quited right down. Now he doesn even bother because he knows he wont win. Also if you always give in to him then you are letting him be the boss which later on can hinder you.