Yes, you are doing the right thing by teaching him to be alone. That's an extremely important skill for puppies to learn. If you haven't already, you could try stuffed, frozen Kongs or something similar when he goes in the pen...that might be more enticing to him than just toys. Also, you can try slowly acclimating him to your walking away...turn your back, treat. Repeat until he thinks it's a game. Then move on to taking a few steps away, then return and reward. Repeat (reward only for calm, quiet behavior). Work up slowly to going into a different room briefly, them immediately return and reward. Then walk out the front door, return and reward...etc. Keep making it harder, but only at your dog's pace. If he is having a hard time with one step, go back to where he is comfortable, then move on when he succeeds.
I also found when my dogs were puppies that it's best to avoid crating them unless they're actually tired. I know sometimes that's not possible, but if you can, do some training or play or a short walk before crating and they'll be more likely to take a nap instead of worrying about where you went. If they do cry, and you make a fuss and talk to/try to soothe them, you're just reinforcing the behavior. Try to ignore the crying fits, and only give attention or let them out when they are relaxed and calm and quiet. Good luck! Our Cavalier (a breed prone to separation anxiety) used to bark/scream when we left him, but with some training and practice, he now completely relaxes in his crate when we leave. Sometimes he doesn't even come out right away when we get home because he's so sleepy and relaxed! Your puppy will get there if you are consistent about not giving in when he throws a fit!
I also found when my dogs were puppies that it's best to avoid crating them unless they're actually tired. I know sometimes that's not possible, but if you can, do some training or play or a short walk before crating and they'll be more likely to take a nap instead of worrying about where you went. If they do cry, and you make a fuss and talk to/try to soothe them, you're just reinforcing the behavior. Try to ignore the crying fits, and only give attention or let them out when they are relaxed and calm and quiet. Good luck! Our Cavalier (a breed prone to separation anxiety) used to bark/scream when we left him, but with some training and practice, he now completely relaxes in his crate when we leave. Sometimes he doesn't even come out right away when we get home because he's so sleepy and relaxed! Your puppy will get there if you are consistent about not giving in when he throws a fit!