It is exactly how you describe it above - except the last step. Use here drag&drop of the active call onto the one on hold. That initiates the call transfer. The SIP server has to support SIP method REFER for this. Some providers only support some * codes.

Call forwarding is something completely different. You should delete that forwarded number. This is used for redirect all (!) incoming calls to another destination.

Back to your scenario:
If you have one incoming call and you answered that, you need to initiate a second call. The first call automatically is set to hold. After this second call is answered you can do that drag&drop.