After setting the number on your voicemail, you must also record a personal voicemail greeting. Follow the steps below. Start the Phone app. if you don’t see the numeric keypad, tap “Keypad” at the bottom of the screen. Tap and hold the “1” for about two seconds until the phone automatically calls voicemail. Immediately tap “3” to access voicemail settings. Listen to the options. On most voicemail systems, tap “2” to start the process to record a new greeting. The current personal greeting will play; then tap “2” again to record a new greeting. Say the greeting you want, and tap “#” when you’re done. To save the greeting, tap “1.” The personal voicemail greeting has been set. Hangup the phone. How to setup voicemail using a Visual Voicemail Applications
To set up your voicemail, press #55 or *68 from your home phone or call the retrieval number you received with your welcome letter. Voice prompts will guide you through the rest of the steps.

You can do this with lots of third-party voice recorder apps as well, like Rev Voice Recorder, Otter, and Alice, which offer some transcription. Usually for a price. The downside to this method is the quality could be sketchy. Plus, lots of people hate talking to someone on speaker phone.
Unfortunately, the default settings on most gadgets aren’t set up to keep everything hidden or password-protected. Anyone who accesses your devices can see everything.