As a parent of two young daughters (2 years old and 3 weeks old), I know how tough it can be dealing with putting your child in another room. Essentially, the reasons you keep your child in your room are out of convenience (you don't have to trudge to the other room just to change a diaper or breast feed) and genuine concern (if something happens in the middle of the night, you want to be able to find out as soon as possible).
For the first reason, after a certain amount of time, the drawbacks will outweigh the benefits. The longer your child takes getting used to sleeping in a seperate room, the harder it will be (imagine the difference between moving your child now and when he or she is 2 or 3 years old - perhaps an over exaggeration, but probably not by much). You also will be unable to be intimate with your partner with your child in the same room (or for that matter just to settle down to watch TV or read a book), and the clothing will start piling up very quickly (and soon you may find yourself trudging to the other room anyway to get some fresh clothing or sheets).
As for the second reason... well, that's one of the hallmarks of a good parent, someone who worries about their children (but as long as you don't overdo it - hovering over your kids will be just as damaging as if you left them in the same room with you). What you can do is get a baby phone - essentially a small monitor that will transmit your child's sounds to your monitor in your bedroom. This will allow you for the first few months you move your child to their own bedroom to regularly listen in, in case they start crying.
The biggest challenge you'll have is having your child get used to the new sleeping arrangements. This will take probably at least a week before your child accepts sleeping in another room on their own. When doing this, you may want to use the egg-timer method - let your kid cry it out for 5 minutes, then come in to comfort them, and keep extending the time between when you hear your child crying and when you come in (I would recommend starting this on a long weekend, if possible - in that way, at least you don't wind up a zombie at work the next day).
Another challenge you'll have is simply general worry. I had this with my first daughter when she started sleeping on her stomach. I would walk in, see her lying face down, and flip her on her back. After awhile, I got comfortable enough with the idea of her lying on her stomach (and now that she's in her own toddler bed, sleeping with a pillow, albeit a specially designed child's pillow). The thing here is that you shouldn't walk in every 5 minutes to make sure everything is fine. If something, heaven-forbid, were to happen to your child, it could very well happen while your child is sleeping in your room and you're all sleeping soundly.
Basically, when moving your child to their own room, make sure it's THEIR room (I.E. not a computer room with a crib in it). If they have some stuffed animals they like, put them in the room to make them feel more comfortable in the room. Do diaper changes and clothing changes in the room. The more they associate the room with their regular routine, the easier they will have to accepting being in their own room.