Definitely not "hold on" -- that's informal English for "wait" or sometimes "stop" -- "Hey, hold on a minute, what was that you said?"
"Please hold the line" is much better; sometimes you'll hear it shortened to "Please hold". It's probably a good to idea to explain why the caller should hold the line: "Please hold the line a moment, I'm putting you through now." People generally hate being "put on hold", so it helps just to let them know that you're not just doing it because you don't like them.
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