I hold it in until very little visible vapor exists, in what I call the Stoners' Wager: If it doesn't hurt or inconvenience me to hold it in until it's fully absorbed, then the question of whether or not it's required becomes irrelevant.
It doesn't hurt me in any way. I'm pretty healthy and active, so by virtue of that I can hold in a hit for as long as needed with no special effort on my part. I would notice any lung or other health impairment, but there is none.
To minimize the inconvenience by expediting the process I recommend grinding the material very finely, preheating it on models which allow this, taking the biggest hits you can handle to vaporize the material more quickly, and as others have mentioned, inhaling a good bit of regular air after your hit to push the vapor further into your lungs.
This extra air serves a dual purpose for those really massive milky hits which would otherwise take forever to absorb if simply held in. It allows me to take rapid, shallow breaths of nothing but air to help agitate the vapor further down, which drastically increases its absorption rate. Obviously, this would quickly get you ostracized in company, so it's only something to do if you're alone (and nuts).
Using this method, and a plug-in model capable of producing very thick vapor, I can cash a bowl in effectively two hits with a combined 90 seconds or so of holding in vapor. That's not counting ten minutes of preheating, but it's still pretty close to the quickness and ease of combustion, which is frankly the only thing I miss about it.