To transfer a call or consult a co-worker you do not press the Hold button. The Hold button has a different purpose (more about his later). Instead you either press the Consult or Transfer button. You choose the button according to whether you want to speak to the other person (Consult) or not (Transfer).
You are then presented with a screen with either a Consult or Transfer button. Your call is not on hold at this stage yet. When you are ready, type the number to transfer to and if you are consulting then the original call will be put on hold pending transfer (the pending transfer bit is important).

When you have finished talking to your co-worker, you can either click Cancel to return to the original call or click Complete to transfer the original call to your co-worker.
If you are transferring then the call will be put straight through (remember to say goodbye first).
You can also transfer calls by using the Presence window.