The way it works is the advisor you are speaking with calls DHL, DHL usually put the advisor on hold for quite a while (hence your waiting time on the phone) then come back and say they're going to investigate, give the o2 advisor a reference number, take their email address and advise they will send a message once they figure out what's happened.
This normally takes DHL approximately 24 hours.
Once DHL have emailed the o2 advisor you usually get a callback from o2 to say they're sending another handset.
However, this process can fail though. This is because you are relying on the advisor you spoke with getting an email from DHL and calling you. If the advisor is off sick, isn't in again for two days, goes off on holiday etc etc then the callback might not happen...such is life.
I'd call tomorrow on 0870 607 2302 to get an update on what's going on.