Those newborn days can definitely be tough and like mentioned above very normal for them to do this.
Soak in the cuddles, it'll soon change and you'll find they no longer want to be in your arms.
I know how exhausting it is but I’m afraid it’s very normal for them to not want to be put down at this stage. They just want your warmth and comfort, it won’t always be that way but particularly the first 3 months you might find this. Have you looked at getting a sling or a baby carrier? It was a lifesaver for me