It may take stages....Put them in their own beds and read to them and rub their backs until they fall asleep. Then, each night, subtract a few minutes from the amount of time you spend in their rooms until none is needed. I do believe it is important for parents to have their own space because the intimacy between a couple is a very special and important part of a relationship.
You don't give them a choice. It will take a few nights of crying just don't give into them. My youngest all of a sudden decided she no longer wanted to sleep in her room anymore so what I did is I put her in her bed and told her I would check on her in 10 minutes, it took checking on her 3 or 4 times but she would fall asleep. We did this for about a week and we haven't had any problems since.