'Lay' is a transitive verb, so it needs a direct object. You could say 'Lay the baby in my arms' or 'Lay the bunch of flowers in my arms', for example. Or, as Peachey suggests, 'lay yourself in my arms.'
Otherwise, the correct word should be 'lie', which is an intransitive verb.
NB The past simple of 'lie' is 'lay' (lie-lay-lain), which is what confuses many people about these two verbs. Native speakers commonly confuse these verbs, too. It is very common for less educated native speakers to say , for example, 'I'm tired so I'm going to lay down.'. Please don't imitate them!