You just need to program the Voicemail's pilot number into the Call Coverage Services form, found within Call Routing -> Call Handling.
Then on the Voice Mail tab, enter the pilot number.
You can even create multiple service zones, so that if you are sharing this form via SDS and syncing it, another controller's phones can use Call Coverage Service Number 2 and get the right pilot number.
You then assign the Call Coverage Service number within the Service Details tab of User Config. Or Station Attributes if you like doing things old-school.
Then to transfer a caller into a voicemail box, you press the Envelope key, and either dial that person's extension or press a DSS/BLF key for them if you have it.