It's a myth that holding a hit gets you higher. If it "does" theres two simple explanations:

1] Oxygen Depravation, which is not a good thing.
2] Simply, placebo.

As Rogue said, 95% of THC and active cannabinoids are absorbed by the lungs instantly. A natural breath is about 3 seconds, so this is all you have to hold it in for.

Also, holding hits in just coats your lungs in tar, and it's far more unhealthy for you than blowing the hit out naturally.