I've heard that getting a playmate for your pup DOES help sometimes but keep in mind that Bilbo probably only cries while your initially leaving. My little Oliver is sooo attached to me and cries so bad when I leave for work (or even leave the room for that matter). Although (and I've tested this haha) as soon as I leave and he can no longer see me, he stops crying and just plays with his toys or lays in his bed. Its just hard for him to actually SEE you and not be near you that makes him cry
I'm sure Bilbo is fine while you are away but if you are worried about him getting out I would try a taller ex-pen...I know my pup can crawl up over smaller gates or over top of boxes if he really wants to get out! I know what you mean about leaving him in a crate all day, I hate it soo much too so I usually leave him in an ex-pen with the tv on, his comfy bed, toys galore and his food and water. He's always soo happy when I come home on my break to take him out that I don't really worry and when my dad has gone to check on him he says he's not barking or anything...real content
In a nutshell I wouldn't worry so much about him having separation anxiety but if you do think getting a playmate would help then what a great little addition to your family!