1. She is on the phone, so call back later.

2. She is on the line, so call back later.
3. She is on another phone, so call back later.
4. She is on another line, so call back later.
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Are they all grammatical?

All are grammatically correct, but I'd use only #4. Even better is to ask for the caller's number and say, "I'll ask her to call you back."

Yes, all four sentences are grammatically correct. They are different variations of the same idea, expressing that someone is currently using a phone or talking on a phone line, and therefore suggesting that you should call back at a later time. The phrases "on the phone" and "on the line" are both commonly used to indicate that someone is engaged in a phone conversation. The variations in the wording do not affect the grammatical correctness of the sentences.