You have to dial *72 (plus the number you want to forward the calls to) and then place the call. It does not work like it would on a landline phone (dial *72, wait for the tone and then dial the number to forward to). This info (and much more) is available on your iPhone by going into Safari and looking at the User Guide in the bookmarks.
Thank you for excellent information kaebfly. Below I have also included the instructions for deactivating Calling Forwarding:
- Dial *73.
- Press Send and wait for confirmation beeps / message.
- Press End