Well, there's some kind of thing you can do where you put him in the pen and leave him in for a minute and if he doesn't cry then you can give him a treat and continue doing that and increasing the time and moving further away from him...
Then I've heard about things like picking up the car keys (and coat too

)when he's in there and walking out the door and waiting a minute and then returning and give him a treat.
I suppose it is all to teach him that you will always return.
I'm sure there are people here that know more about this than I do.