How do I set up voicemail?

I know this might be silly.. but how do I do it? How do I set up voicemail? I'm taking a few days off work and I really don't want to pick up any calls at all. But unfortunately there are definitely some calls I would want to return.. so I'm trying to figure out voicemail. How does it work on android? I went and set up my number in the voice mail thing, but does it really have to be a service provider based thing? Can't I save voicemail locally? I mean I could do that with my Sony in 2013 and my Lava running Java in 2010. But I'm not able to figure it out for the life of me. Help plz. Thanks