If you are running 8.0_UR3 or greater, when you transfer a call from a 5302 and hang up (un-supervised transfer) you will get the call back if the recall no answer timer expires - check COS on the originating trunk. If you are on an earlier version this does not work and you can use directed call pickup to pull the call back from the phone you transferred it to, this is far from ideal and a hack to say the least!
The hold retrieve sequence Ralph mentions is correct, but does not work on the 5302 unless you are on a specific software load, there was a patch released earlier in the year (around March i think) which fixes it. I'm sure the patch made its way into the current release, i'll check if you want me to.
The 5302 is really only suitable for specific enviroments, an office desk is not one of then in it's current form. They do not have many features you take for granted with a standard analogue set, however every enviroment is different and it depends what on features you currently use and what your users are used to.
I would advise anyone with 5302's to keep their software right up to date, many issues have been fixed although there are still quite a few outstanding. A lot of the problems stem from the fact it uses SIP to communicate with the 3300 instead of MiNet.