Use these step-by-step instructions to set up your voicemail. And don't worry if you make a mistake — you'll always have the option of backing up and changing your response.
Pro tip: You can double-check to see if voicemail is set up on your iPhone by dialing and calling your own phone number in the Keypad of the Phone app, or by calling your iPhone using another phone.

An option with far fewer cables is the RecorderGear PR200. It records your conversation via Bluetooth. The call button in the middle of the device can answer calls on the Bluetooth-connected phone. Hold the PR200 up to your head to talk and listen, as if it's the phone. It also features a USB end to quickly access recordings on the computer. It will hold about 144 hours of conversation before it fills up the 4GB of storage. It also records like any digital recorder sans smartphone, since it has an external pin-hole microphone.
Recordator has a free 10-minute recording trial; otherwise it costs $10 for 67 minutes to start. It works much like RecordiaPro, giving you a number to set up a 3-way conference that does all the recording. For that price, Recordator throws in full call transcription. It also supports the merge-call option.