I found with my past dogs you have to be cruel in the first few weeks. They will whine like a mother fucker at first because they aint used to being on their own.
But as said above make sure they are comfortable and warm and they will soon calm down. DONT go down. I know its heart breaking when you hear em, but you have to not give into the tempation.
And I wouldn't recommend leaving a light on. If its dark they should be going to sleep, make sure you link sleep with dark.
If they start sleeping on the end of your bed, you will never get rid of em... I know