What you said
You should apply the other relevant parts of the behaviour policy. Don't deal with the device, deal with its effect: the distraction. This limits your range of responses, which isn't a bad thing - if the policy is that a third warning means a detention then a third warning has to mean that detention, with no exceptions. That puts the burden of "responsible behaviour" with phones back on to the children, where it belongs. And if someone asks later why you are putting all these students in detention, you can tell them honestly that it's your only option under the school policy.
My school has a complete ban on mobile phones being visible in the classroom. If we spot one we confiscate it and the pupil's parents can pick it up from the house leader. This has made the issue much easier to deal with and there is less stress for all concerned. If your school does not have a comprehensive policy that is strictly adhered to, then you are probably going to lose. Mobile phones are a massive distraction and, as we all know, can be used in some very destructive ways.
The expert view
If the school does not have a confiscation policy, it is unlikely that you will change the senior staff position on this any time soon, especially given your new status. And if you start confiscating phones without backup from the school, you will have a struggle. That said, there is nothing against running your classroom in your own manner if it does not contradict the school policy, so you might want to trial a period of "If I see it, it goes in my drawer for the lesson", and supplement that with a detention, which I'm hoping is permitted. It is all about good instincts for how classrooms work best. I suspect your headteacher could do with a refresher.
Tom Bennett's latest book, Teacher, is out now, published by Continuum. Post your questions at www.tes.co.ukbehaviour.