If you mean to get them on to your computer, you should jailbreak your iPhone (no need to unlock). I recommend blackra1n for that (if you aren’t running 3.1.3, the most updated update)
Then download OpenSSH from Cydia (an app on your jailbroken phone). Then you can search something like “using SSH to get voicemail off your iPhone” on youtube and you can see an instructional to use SSH. I would help more but it’s complicated. better to just watch a vid.