I was having the same debate a couple months ago, when my DD (who'll be 3 in June) suddenly decided to sleep in her own bed and room one night. We just went with it, and have kept her in there since then. There have been a few nights when she's asked to "sleep in the big bed" with us but I've just told her that she sleeps in her little bed now but she can come to the big bed if she wakes up. Usually if she does wake up she's not even interested in coming in with us except if it's getting close to morning anyways.
The first couple nights I actually lay down in her bed with her until she fell asleep (not super fun in a toddler bed.) Now I usually sit on the floor beside her, but I'm trying to get her used to me leaving for a few minutes at a time (I tell her I'm feeding the cats or whatever and I'll be back when I'm done) and she's even fallen asleep by herself a few times. Bedtimes can still take hours and involve some major tantrums but that was the case when she was sleeping with us too and I don't think it's any worse.
She does still wake up from 0 to approximately 8 million times a night, but she usually goes right back to sleep and isn't overly upset about it.
I wouldn't have thought that going cold turkey would work but it's actually gone amazingly well. This seems to be the case for a lot of things with my daughter though. If I try to do anything gradually she just gets mad that the rules keep changing. I'm not sure if that's typical of toddlers or just her personality.
If it was in the budget, I would have bought her a twin size bed first, but with a new baby on the way it wasn't feasible. I think it would have been easier to be able to occasionally crawl into bed with her but it hasn't been as big a deal as I thought.
I don't know if any of this helps at all. Good luck with the transition! I really thought this would be a hard one for us but it's been way smoother than I expected. I have to admit, I kind of miss having her close by, but I'm loving being able to roll over in bed whenever I feel like it!