Actually I read on another post that you don't need to hold it in to get the full effect because THC is instantly absorbed. I think it's tripe. You take a big hit and hold it so that a lot of THC gets absorbed in one hit.

You only cough because your aveoli are irritated by something (in this case it's the carcinogens in the smoke) and coughing is just the body's way of forcing the bad smoke out and oxygen in. So in my mind the more your body's trying to expel the smoke from your lungs (coughing), the better your hit will be (the more THC the worse the cough is)

in other words the actual act of coughing is bad - but coughing is a good sign for a good high. coughing is good.