I've never heard the bit about consolidating your student loans to improve your credit score or about consolidations loans being sold. As far as I know, my loan won't be sold. I consolidated two student loans with the Department of Education. I chose to do so because my interest rate was then locked in at 2.85%. I jumped at the chance to consolidate because I didn't think I'd find a lower rate and I believed that rates would go up. (My younger brother has a student loan at 7%) I've been out of college now for three years and it hasn't gone up or been sold.
You do need to be aware, though, that if you consolidate your loans, you'll lose the six month grace period. You'll need to start payments right away. Depending on which repayment plan you pick (10, 20, or 30) and how much your actual loan is, it shouldn't hurt too much to start repayment immediately. (With the 30-year option, in my case, it would've been $40 a month.)
Also, remember if you further your education (grad school, community college) repayments can be put on hold.
I'm guessing you'll want to consolidate with a Direct Loan? You'll probably find http://www.ed.gov/offices/OSFAP/DirectLoan/index.html helpful.