If Set Up Now doesn’t appear, then that means your phone has been set to the automated voicemail option. You can change it whenever you like, though. All you have to do is tap Greeting, which should be at the top-left of the screen.Tap Record, and then speak slowly and clearly into the phone so that your message is recorded.When you are finished, hit Stop.
The simplest, lowest-tech option—beyond operating a recorder while you blather over the speakerphone—is a cable: the Olympus TP-8 Telephone Pick-up Microphone for under $20. It doesn't digitally capture from your iPhone. Instead, it has a microphone built into the earpiece. Plug the 3.5mm plug on the other end into a recorder. Hold the iPhone up to your ear to talk normally. The TP-8 captures each side of the conversation from what comes out of the iPhone's ear speaker, while you can still hear the conversation.

I have also seen this method fix voicemails that are not playing and not deleting, too. A quick reset of the voice app does wonders and takes two seconds.
When you get a voicemail, you can check your message from the notification on your phone. Swipe down from the top of the screen. Tap Voicemail ….You can call your voicemail service to check your messages. Open your device’s Phone app . At the bottom, tap Dialpad . Touch and hold 1. How do you listen to your voicemail from a different phone? Call your 10-digit wireless number. When you hear your voicemail greeting, press the * key to interrupt it. If you reach the main voicemail system greeting, enter your 10-digit wireless phone number, then interrupt your greeting by pressing the * key. Can I listen to my voicemail without setting it up?