The transfer features defined in features.conf are not using conference rooms. Perhaps I misunderstood your requirement - it sounded like you wanted attended transfer. Now I read it again, you actually want all three parties to be conferenced together. Sorry for the mistake.
If you want three party conferencing, then it is best to use the conference feature on the IP phones if possible. Otherwise you'll have to use meetme. There is a suggestion at this link, but I haven't tried it:
http://www.voip-info.org/wiki/view/Asterisk+n-way+call+HOWTO