I haven't found an app that you can use directly for that purpose, although as the previous poster suggests you could try using an audio recording app to record the voicemail.
I did come across this during my search though:
"Verizon does contract with a company to do this for you. It's called CBW Productions Inc. and their Verizon section can be found here:
www.cbwproductions.com/vwclientsorder.html
Your best option for the 1 voicemail is to pay $5 and they will send it to you as a .mp3 or .wav file via email.
And DigitalTony had this to say a couple of weeks ago:
I used a different service to save my voicemails before activating my new iPhone.
www.SaveMyVM.com
I didn't know about CBW, but SaveMyVM did a great job and they
delivered my messages within 2 hours.
Check out both of them and see which will work best for you"
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