That "rule" is utterly wrong. I've heard it before, often to justify why an otherwise respectable store doesn't bother stocking size 30 belts, and never understood why people continue to repeat it. Your belt size should be the same as your waist size- you're supposed to use the middle hole, with the others to provide some give in either direction. Belts are measured to the middle hole- if you buckle a 32" belt in the middle hole, it will form a loop 32 inches in circumference.
Now, with vanity sizing and the expectation that you'll only get fatter instead of any thinner, getting a larger belt might be justified in some cases, but should hardly be considered the rule. I wear a size 29 or 30 waist depending on the pant and the day, and wear exclusively size 30 belts.
I have been burned by this before. The people at the Allen Edmonds store told me to size up 2 inches. Well, now I am on the tighest hole. It still looks fine, but if I had bought true-to-size, I would have been able to fasten it right in the middle.
Belt makers should understand that we wear belts over pants and size them to accomodate someone of the specified size. The same goes for jackets/coats: they get worn over top of suit jackets, and should be sized with this in mind. I have yet to find a company for which this does not hold true.