If you dial *#61#, the iPhone will display call forwarding information in the case of a call not answered (you can look here for more codes, or just google GSM code). The first phone number listed should be AT&T's voicemail number. Create a contact with this number, followed by a ',' (hold * for about 2 seconds), followed by your 10-digit cell number. When you call this contact, you'll hear AT&T's automated response, followed by your iPhone dialing your phone number, and then your voicemail greeting. Record your note and hang up. It may take a minute before you receive the message in your visual voicemail.

