If they are calling without an expectation that you always pick up (such as if you are a business coach or a one-man shop) then thanking them for calling might make the most sense.
I am not a voice talent, and I hate the sound of my own voice. Every time I lose my cell phone (daily), I call it from another line to help myself find it. And every time I do this, I wish my voicemail message sounded…different. I’m always reminded that I should sit down and rerecord it, so it makes a more professional first impression.

Rehearse or write down your message before recording it. Remember that old saying “practice makes perfect?” It’s certainly true when it comes to creating an electronic greeting. The more you’ve rehearsed, the easier the message will be to restate. If you don’t have time to practice, writing down the greeting before recording it – and then reading it aloud from the paper – may help you stay focused on the correct wording.
It’s a good practice for each of your team members to have their own personal business phone numbers. There are many reasons why they shouldn’t use their personal cell phone number for business, so you’ll want to give them their own phone number through your VoIP provider or phone system.