If my business colleague is asking me to record conversations of my sales calls without the other people knowing and then give them to him to listen to, is this legal?

This depends upon the state where the call is being recorded.  In some states it is legal to record a telephone converstion without one party's consent.  Other states require that both parties are aware of the recording and consent to the recording.  It also depends on the nature of the call.  If you are attempting to collect a debt, recording the call without the debtors knowledge and consent is a violation of federal law.