A fresh out the box version of The Foundry's Nuke frame hold node doesn't use the current frame as a default value when generated. Well here's a way to do that! A quick google search led me to David Emeny's Wordpress blog with this snipped of code.

add this code to your menu.py file

#Custom Frame Hold
nuke.menu('Nodes').addCommand("Time/FrameHold","nuke.createNode('FrameHold')['first_frame'].setValue(nuke.frame())",icon='FrameHold.png')

Disclaimer: I am not claiming this code as my own. I just happed to come accross it and thought it was useful.