It's true. Telling them not to call back does validate that you have a working phone number and yes, they will sell it to the next company in line. Even if they are looking for somebody else and you tell them they have the wrong number it still validates you as a working number. I recently had this problem with another telemarketer and had to send a cease and desist letter to their address, which finally stopped the calls.
I also believe that the "do-not-call" list is also a list. It probably does not get sold to anyone else, but I'm sure somebody has access to it, judging by how many people still have problems with telemarketers in spite of already being on this "list".
There are a few surefire ways to get them to stop. One is to simply to let your phone bill lapse until they shut off your phone. Anyone calling will get the "disconnected number" recording. Then after a few weeks, pay up the phone bill and reconnect your phone. The only real drawback to this is the phone company will more than likely charge you a fee (about $40) to reconnect and they may have you pay a deposit. This method works for about six weeks, until jerks start calling back and realize that you number works again, but then about half of them won't call back.
The other way is to change your phone number, being sure to tell the phone company that you do not want the "disconnected" recording to tell callers the new number. Then NEVER give your new phone number to ANYONE. If somebody insists on you giving them a phone number, give them your old one. Also, if you call a company, don't call from your home phone because the number will show up on their caller ID and they will write it down and sell it to somebody else. I was amazed at how well this worked. Once I even had to check my phone for a dial tone because it hadn't rang in almost three days.
I am now getting calls from the latest "car warranty" scam every other day, but that comes from a random autodialer, so I guess there is nothing I can do about that. Anyway, good luck. I hope this helps.